COSMO.jl is a Julia implementation of the Conic Operator Splitting Method. The underlying ADMM-algorithm is well-suited for large convex conic problems. COSMO solves the following problem:

\[\begin{array}{ll} \text{minimize} & \textstyle{\frac{1}{2}}x^\top Px + q^\top x\\ \text{subject to} & Ax + s = b \\ & s \in \mathcal{K}, \end{array}\]

with decision variables $x \in \mathbb{R}^n$, $s \in \mathbb{R}^m$ and data matrices $P=P^\top \succeq 0$, $q \in \mathbb{R}^n$, $A \in \mathbb{R}^{m \times n}$, and $b \in \mathbb{R}^m$. The convex set $\mathcal{K}$ is a composition of convex sets and cones.

Features

  • Versatile: COSMO solves linear programs, quadratic programs, second-order cone programs, semidefinite programs and problems involving exponential and power cones
  • Quad SDPs: Positive semidefinite programs with quadratic objective functions are natively supported
  • Infeasibility detection: Infeasible problems are detected without a homogeneous self-dual embedding of the problem
  • JuMP / Convex.jl support: We provide an interface to MathOptInterface (MOI), which allows you to describe your problem in JuMP and Convex.jl.
  • Chordal decomposition: COSMO tries to decompose large structured PSD constraints into multiple smaller PSD constraints using chordal decomposition techniques. This often results in a significant speedup compared to solving the original problem.
  • Smart clique merging: After an initial decomposition of a structured SDP, COSMO recombines overlapping cliques/blocks to speed up the algorithm.
  • Warm starting: COSMO supports warm starting of the decision variables
  • Arbitrary precision types: You can solve problems with any floating point precision.
  • Open Source: Our code is available on GitHub and distributed under the Apache 2.0 Licence

Installation

COSMO can be installed using the Julia package manager for Julia v1.0 and higher. Inside the Julia REPL, type ] to enter the Pkg REPL mode then run

pkg> add COSMO

If you want to install the latest version from master run

pkg> add COSMO#master

Quick Example

Consider the following 2x2 semidefinite program with decision variable X:

\[\begin{array}{ll} \text{minimize} & \text{tr}(CX)\\ \text{subject to} & \text{tr}(A X) = b \\ & X \succeq 0, \end{array}\]

with problem data A, b and C:

\[A = \begin{bmatrix} 1 & 0 \\ 5 & 2\end{bmatrix}, C = \begin{bmatrix} 1 & 2 \\ 0 & 2\end{bmatrix}, b = 4.\]

where tr denotes the trace of a matrix. We can solve this problem either using COSMO's interface:

using COSMO, LinearAlgebra

C =  [1. 2; 0 2]
A = [1. 0; 5 2]
b = 4;

model = COSMO.Model();

# define the cost function
P = zeros(4, 4)
q = vec(C)

# define the constraints
# A x = b
cs1 = COSMO.Constraint(vec(A)', -b, COSMO.ZeroSet)
# X in PSD cone
cs2 = COSMO.Constraint(Matrix(1.0I, 4, 4), zeros(4), COSMO.PsdCone)
constraints = [cs1; cs2]

# assemble and solve the model
assemble!(model, P, q, constraints)
result = COSMO.optimize!(model);

X_sol = reshape(result.x, 2, 2)
obj_value = result.obj_val

or we can describe the problem using JuMP and use COSMO as the backend solver:

using COSMO, JuMP, LinearAlgebra

C =  [1 2; 0 2]
A = [1 0; 5 2]
b = 4;

m = Model(with_optimizer(COSMO.Optimizer));
@variable(m, X[1:2, 1:2], PSD)
@objective(m, Min, tr(C * X));
@constraint(m, tr(A * X) == b);
JuMP.optimize!(m);

status = JuMP.termination_status(m)
X_sol = JuMP.value.(X)
obj_value = JuMP.objective_value(m)

Credits

The following people are involved in the development of COSMO:

*all contributors are affiliated with the University of Oxford.

If this project is useful for your work please consider

Licence

COSMO.jl is licensed under the Apache License 2.0. For more details click here.