[Csdp] CVX interface

Mon Oct 20 10:42:20 EDT 2014

Thanks for the tips. I will work with the beta version instead.

On Mon, Oct 20, 2014 at 10:37 AM, Michael C. Grant <mcg at cvxr.com> wrote:

>  Well, the reordering logic is necessary for two reasons. For one, CVX
> allows the cone variables to be in any order whatsover, while SeDuMi
> expects the free variables first, followed by the nonnegative, second-order
> cone, and then SDP variables. For another, CVX's SDP basis differs from the
> basis used by some solvers by an elementwise scaling.
>
>  In fact, SeDuMI's *solver* doesn't handle free variables, either, but
> its *interface *does. It accepts free variables as input, and *
> internally *converts them to its standard form. It also converts rotated
> Lorentz cones to un-rotated form, and a few other conversions as well. The
> user is not expected to concern himself with such matters. I find it
> unfortunate that CSDP requires calling external code to perform the
> conversion; perhaps it would be a worthwhile investment of your time to
> build a "wrapper" around CSDP's interface that extends its calling sequence
> to include free variables.
>
>  I would suggest, by the way, using CVX 3.0 beta for your shim
> development if you're going to do this. The shims are not back compatible,
> so it would be a shame for you to waste the work. And on the positive side,
> the shims are a lot simpler, because I've moved a lot of solver-agnostic
> conversion logic out of the shims themselves, so the shim can focus on
> handling solver-specific rearrangements.
>
>
>  On Oct 20, 2014, at 9:28 AM, Jose Lopez <lopez.jo at husky.neu.edu> wrote:
>
>  Hi Michael,
>
>  Thanks for your reply. I am trying to use the Sedumi calling sequence.
> I'm actually modifying the Sedumi shim file but as CSDP does not accept
> free variables I have to convert the free variables to non-negative
> variables using an M function that comes with the CSDP solver -- and as far
> as I can tell, with the problems I work with (ones without SOCP
> constraints) the conversion does not result in a much larger problem at
> all. It does however change the dimensions of some of the matrices (A and
> c) and when the solution comes back the "reord" variables in the Sedumi
> shim file are no longer size-compatible and the shim logic breaks. I don't
> know what the reordering logic is all about in "cvx_sedumi.m".
>
>  Jose
>
>
> On Mon, Oct 20, 2014 at 10:12 AM, Michael C. Grant <mcg at cvxr.com> wrote:
>
>> I certainly do support the development of shims for fully free solvers.
>> CSDP fits into that category nicely. However, I’ve not supported CSDP to
>> date because it doesn’t provide native support for SOCP cones. It’s really
>> not practical for CVX to support solvers that can’t handle SOCP natively.
>>
>>  It is true that SOCP constraints can always be represented using SDP.
>> But a naïve conversion of SOCP to SDP squares the number of variables; and
>> the most efficient approach (in terms of the number of variables)
>> multiplies them by a factor of 6 or so. And both conversions add quite a
>> few equality constraints as well. I have no idea how either of those
>> conversions impacts accuracy, nor have I examined the empirical performance
>> loss. It’s simply not something I can afford the time to investigate or
>> explore. Someone else can do it, but I really cannot support it.
>>
>>  I’m not sure I understand the free variable issue. SeDuMi converts free
>> variables to constrained variables internally as well, but the SeDuMi
>> calling sequence accepts them just fine. Why not use the SeDuMi-compatible
>> calling sequence for CSDP, and let CSDP’s own facilities handle the
>> conversion?
>>
>>    On Oct 20, 2014, at 8:46 AM, Brian Borchers <borchers at nmt.edu> wrote:
>>
>>  Jose; I believe that CVX requires a solver than can solve second order
>> cone programming problems (SOCP) as well as SDP.  You could transform
>> SOCP's into SDP's and solve them in that form using CSDP, but the
>> performance would be poor in comparison with a code that directly solves
>> SOCP.
>>
>>  I've included Michael Grant in this reply.  Michael; do you have
>> anything to add?
>>
>>
>> On Mon, Oct 20, 2014 at 7:34 AM, Jose Lopez <lopez.jo at husky.neu.edu>
>> wrote:
>>
>>> Hi list,
>>>
>>>  I'm a new member to the CSDP list. My name's Jose I'm an EE grad
>>> student at Northeastern in Boston. I'm writing to ask if anyone has written
>>> a CVX "solver shim" for CSDP so that it can be called from CVX? (CVX
>>> encourages users to make solver interfaces so long as the solver is free.)
>>> I took a stab at it using the Sedumi solver shim as a starting point but as
>>> I'm not that familiar with the internals of SDP solvers I get tripped up
>>> when handling the free variables; which as you all know CSDP doesn't
>>> accept. I know CSDP has a utility to convert free variable problems but I
>>> get tripped up when converting the solution back to Sedumi form. Anyway, if
>>> someone has a solver shim I would be really, really, grateful if you shared
>>> it. =)
>>>
>>>  Have a great Monday, list.
>>>
>>>  Jose
>>>
>>> _______________________________________________
>>> Csdp mailing list
>>> Csdp at list.coin-or.org
>>> http://list.coin-or.org/mailman/listinfo/csdp
>>>
>>>
>>
>>
>>  --
>> Brian Borchers                          borchers at nmt.edu
>> Department of Mathematics      http://www.nmt.edu/~borchers/
>> New Mexico Tech                       Phone: (575) 322-2592
>> Socorro, NM 87801                   FAX: (575) 835-5366
>>
>>
>>
>
>
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