SDPNAL.jl

SDPNAL.jl is wrapper for the SDPNALplus solver.

The wrapper has two components:

• an exported sdpnalplus function that is a thin wrapper on top of the sdpnalplus MATLAB function
• an interface to MathOptInterface

This wrapper is maintained by the JuMP community and is not an official wrapper of SDPNALplus.

SDPNAL.jl is licensed under the MIT License.

The underlying solver, SDPNALplus is licensed under the Creative Commons Attribution-ShareAlike 4.0 International Public License.

In addition, SDPNAL requires an installation of MATLAB, which is a closed-source commercial product for which you must obtain a license.

To use SDPNAL with JuMP, do:

using JuMP, SDPNAL
model = Model(SDPNAL.Optimizer)
set_attribute(model, "printlevel", 0)

Note that, contrary to implementation of other solver-independent interfaces, using SDPNAL from JuMP or MOI fully exploits the particular structures of the SDPNAL interface and does not create superfluous slack variables and equality constraints as 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.

First, make sure that you satisfy the requirements of the MATLAB.jl Julia package, and that the SDPNALplus software is installed in your MATLAB™ installation.

Then, install SDPNAL.jl using Pkg.add:

import Pkg
Pkg.add("SDPNAL")

There is a startup.m file at the root of the SDPNAL folder. This adds all subdirectories recursively when MATLAB starts. However, the interface directory contains a .git subdirectory which contains a very large number of files. 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 problem, delete the startup.m file and .git folder, and add the subdirectories 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 path (that is, the toolbox/local/pathdef.m file) then you might have issues because both solvers define a validate function, and this might make SDPNAL call SDPT3's validate function instead of SDPT3's validate function.