socx: GPU-Accelerated Chance-Constrained Stochastic Optimal Control using JAX

In this paper, we present an equivalent convex optimization formulation for discrete-time stochastic linear systems subject to linear chance constraints, alongside a tight convex relaxation for quadratic chance constraints. By lifting the state vector to encode moment information explicitly, the formulation captures linear chance constraints on states and controls across multiple time steps exactly, without conservatism, yielding strict improvements in both feasibility and optimality. For quadratic chance constraints, we derive convex approximations that are provably less conservative than existing methods. We validate the framework on minimum-snap trajectory generation for a quadrotor, demonstrating that the proposed approach remains feasible at noise levels an order of magnitude beyond the operating range of prior formulations.

Real-time solution of nonlinear optimal control problems remains challenging on embedded robotic hardware, where conventional solvers often rely on global sparse linear algebra or sequential recursions that are difficult to map efficiently to massively parallel processors. This paper presents ucenter, a GPU-native Sequential Convex Programming (SCP) framework for nonlinear optimal control. At each SCP iteration, nonlinear dynamics are linearized around a nominal trajectory, and the resulting convexified subproblem is solved by a consensus Alternating Direction Method of Multipliers (ADMM) scheme. The temporal splitting replaces global sparse Karush-Kuhn-Tucker factorizations with independent per-node dense solves, closed-form dynamic consistency updates, and analytical projections onto convex constraint sets. Both the outer SCP loop and the inner ADMM subproblem are executed entirely on the GPU, enabling efficient optimization. The proposed solver is evaluated on quadrotor obstacle avoidance and Mars powered descent problems using an NVIDIA Jetson AGX Orin edge platform. Benchmarking against a CPU-parallel iLQR baseline in randomized environments reveals that the GPU implementation achieves over 100 Hz batched planning throughput, a 4.1x speedup, and a 51% reduction in energy consumption, while consistently maintaining low nonlinear dynamics defects. The framework exposes reusable GPU-parallel optimization primitives that can be specialized to a wide variety of complex nonlinear optimal control settings, as demonstrated by the scenario-based robust MPC and batched Monte Carlo generation tasks.

This paper introduces numerical optimizations for maximizing throughput on GPU when solving large batches (10,000 to over 100,000) of sequential quadratic programming (SQP) iterations, where all problems have the same structure. The optimizations are implemented in a toolbox WarpMPC for model-predictive control (MPC) in JAX and Warp. Based on the insight that all MPC problem instances in a batch share the same sparsity in time, cost, and constraints, we propose unrolling sparse linear factorizations and solves, which dominate alternating direction method of multipliers (ADMM) solver runtime. We avoid memory access bottlenecks and wasting computations via optimized memory layout, padding-reducing segmentation of the unrolled factorization, and dependency level scheduled backsolves, additionally accelerating sensitivity computation. We achieve throughputs of 8,000 to 250,000 SQP iterations per second on nonlinear cartpole, quadrotor, and humanoid robot benchmarks, outperforming baselines by 3$\times$ to 25$\times$. We illustrate practical usefulness by synthesizing a dataset and training a neural network approximation of an MPC in under 4 minutes that stabilizes a nano quadrotor in hardware experiments.