Matrix-Free Convex Optimization Modeling

@article{Diamond2015MatrixFreeCO,
  title={Matrix-Free Convex Optimization Modeling},
  author={Steven Diamond and Stephen P. Boyd},
  journal={arXiv: Optimization and Control},
  year={2015},
  pages={221-264}
}
We introduce a convex optimization modeling framework that transforms a convex optimization problem expressed in a form natural and convenient for the user into an equivalent cone program in a way that preserves fast linear transforms in the original problem. By representing linear functions in the transformation process not as matrices, but as graphs that encode composition of linear operators, we arrive at a matrix-free cone program, i.e., one whose data matrix is represented by a linear… 

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