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This is a Julia implementation of the Conic operator splitting method (COSMO) solver. It can solve large convex conic optimization problems of the following form:
with decision variables x ϵ R^n
, s ϵ R^m
and data matrices P=P'>=0
, q ϵ R^n
, A ϵ R^(m×n)
, and b ϵ R^m
. The convex set K
is a composition of convex sets and cones.
For more information check the COSMO.jl Documentation.
- Versatile: COSMO solves linear programs, quadratic programs, second-order cone programs and semidefinite programs
- 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 support: COSMO supports MathOptInterface and JuMP
v0.19
, which allows you to describe your problem in JuMP - Chordal decomposition: COSMO tries to decompose large structured PSD constraints using chordal decomposition techniques. This often results in a significant speedup compared to the original problem.
- Warm starting: COSMO supports warm starting of the decision variables
- Open Source: Our code is free to use and distributed under the Apache 2.0 Licence
COSMO
can be added via the Julia package manager (type]
):pkg> add COSMO
If you find COSMO useful in your project, we kindly request that you cite the following paper:
@article{garstka_2019,
author = {Michael Garstka and Mark Cannon and Paul Goulart},
title = {{COSMO}: A conic operator splitting method for convex conic problems},
journal = {arXiv e-prints},
year = {2019},
month = jan,
archiveprefix = {arXiv},
eprint = {1901.10887},
keywords = {Mathematics - Optimization and Control},
primaryclass = {math.OC},
url = {https://arxiv.org/abs/1901.10887},
}
A preprint can be downloaded here.
- Contributions are always welcome. Our style guide can be found here.
- Current issues, tasks and future ideas are listed in Issues❗. Please report any issues or bugs that you encounter.
- As an open source project we are also interested in any projects and applications that use COSMO. Please let us know!
This project is licensed under the Apache License - see the LICENSE.md file for details.