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topic/osqp: Add the OSQP solver in ProxSuite #399

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@Lucas-Haubert Lucas-Haubert commented May 19, 2025

Add the OSQP solver in ProxSuite.
Paper: https://web.stanford.edu/~boyd/papers/pdf/osqp.pdf.

Draft PR, until the dense and sparse backends and bindings are added.

TODO:

Dense backend PrimalDualLDLT:

  • Tests solution polishing.
  • Tests mu update.
  • Test: osqp_dense_maros_mezsaros.
  • Test: osqp_dense_qp_wrapper.
  • Benchmarks.

Dense backend PrimalLDLT:

  • Code (inspire from the proxsuite::osqp branch).
  • Tests.
  • Benchmarks.

Sparse backend:

  • Tests.
  • Benchmarks.

Bindings with nanobind:

  • Code (inspire from the proxsuite::osqp branch).
  • Tests.
  • Benchmarks.

Refactorize the architecture:

  • Refactorize.

…u_in fails because the solver is ADMM only (no polishing yet)
…ests to fix with mu update, polishing or debugging
…ation condition. Also remains to pass tests and benchmarks.
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