NCVX: A User-Friendly and Scalable Package for Nonconvex Optimization in Machine Learning

Optimizing nonconvex (NCVX) problems, especially those nonsmooth (NSMT) and constrained (CSTR), is an essential part of machine learning and deep learning. But it is hard to reliably solve this type of problems without optimization expertise. Existing general-purpose NCVX optimization packages are powerful, but typically cannot handle nonsmoothness. GRANSO is among the first packages targeting NCVX, NSMT, CSTR problems. However, it has several limitations such as the lack of auto-differentiation and GPU acceleration, which preclude the potential broad deployment by non-experts. To lower the technical barrier for the machine learning community, we revamp GRANSO into a user-friendly and scalable python package named NCVX, featuring auto-differentiation, GPU acceleration, tensor input, scalable QP solver, and zero dependency on proprietary packages. As a highlight, NCVX can solve general CSTR deep learning problems, the first of its kind. NCVX is available at https://ncvx.org, with detailed documentation and numerous examples from machine learning and other fields.