Generation of Custom Solvers in Rust for Convex Optimization

Abstract

We introduce cvxgenrust, an open-source tool for generating custom Rust code that solves families of parameterized convex optimization problems modeled in CVXPY. cvxgenrust canonicalizes a problem family, extracts affine maps to Clarabel cone-program data, and generates a specialized Rust crate that updates parameters and calls Clarabel natively at runtime. The generated solver can also be exposed to Python and registered as a custom CVXPY solver. Our code generator supports a wide range of convex optimization problems up to semidefinite programs and exponential-cone problems. Numerical experiments show reduced runtime relative to direct CVXPY solves and performance comparable to CVXPYgen on shared problem classes.