SDPNAL.jl

Julia wrapper for SDPNAL+ (https://blog.nus.edu.sg/mattohkc/softwares/sdpnalplus/)
Author jump-dev
Popularity
3 Stars
Updated Last
1 Year Ago
Started In
November 2019

SDPNAL

SDPNAL.jl is an interface to the SDPNAL solver. It exports the sdpt3 function that is a thin wrapper on top of the sdpt3 MATLAB function and use it to define the SDPNAL.Optimizer object that implements the solver-independent MathOptInterface API.

To use it with JuMP, simply do

using JuMP
using SDPNAL
model = Model(with_optimizer(SDPNAL.Optimizer))

To suppress output, do

model = Model(with_optimizer(SDPNAL.Optimizer, printlevel=0))

Note that contrary to implementation of other solver-independent interfaces, using SDPNAL from JuMP/MOI allows to fully exploit the particular structures of the SDPNAL interface and does not create superfluous slack variables and equality constraints discussed in the SDPNAL guide:

A new interface is necessary to facilitate the modeling of an SDP problem for Sdpnal+ because of latter’s flexibility to directly accept inequality constraints of the form “l ≤ B(X) ≤ u”, and bound constraints of the form “L ≤ X ≤ U”. The flexibility can significantly simplify the generation of the data in the Sdpnal+ format as compared to what need to be done in CVX or YALMIP to reformulate them as equality constraints through introducing extra variables. In addition, the final number of equality constraints present in the data input to Sdpnal+ can also be substantially fewer than those present in CVX or YALMIP. It is important to note here that the number of equality constraints present in the generated problem data can greatly affect the computational efficiency of the solvers, especially for interior-point based solvers.

Installation

You can install SDPNAL.jl through the Julia package manager:

] add SDPNAL

but you first need to make sure that you satisfy the requirements of the MATLAB.jl Julia package and that the SDPNAL software is installed in your MATLAB™ installation.

Troubleshooting

There is a startup.m file at the root of the SDPNAL folder. This adds all subfolder recursively when MATLAB starts. However, the interface subfolder constains a .git subfolder which contains a very large tree of subfolders. Because of this MATLAB crashes if SDPNAL is in its path because the startup.m requests MATLAB to try to parse all the files in the .git folder. To resolve this, delete the startup.m file and .git folder and add the subfolders manually your toolbox/local/pathdef.m file as follows:

function p = pathdef

% (...)

p = [...
%%% BEGIN ENTRIES %%%
'/path/to/SDPNALv1.0:', ...
'/path/to/SDPNALv1.0/interface:', ...
'/path/to/SDPNALv1.0/mexfun:', ...
'/path/to/SDPNALv1.0/solver:', ...
'/path/to/SDPNALv1.0/solver_main_default:', ...
'/path/to/SDPNALv1.0/util:', ...
% (...)

If you have SDPT3 in addition to SDPNAL in the MATLAB's path (i.e. the toolbox/local/pathdef.m file) then you might have issues. As both solvers define a validate function, this might make SDPNAL call SDPT3's validate function instead of SDPT3's validate function.

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