ECOS.jl

ECOS.jl is a wrapper for the ECOS solver.

The wrapper has two components:

• a thin wrapper around the complete C API
• an interface to MathOptInterface

Affiliation

This wrapper is maintained by the JuMP community and is not a product of Embotech AG.

License

ECOS.jl is licensed under the MIT License.

The underlying solver, embotech/ecos, is licensed under the GPL v3 license.

Installation

Install ECOS.jl using Pkg.add:

import Pkg
Pkg.add("ECOS")

In addition to installing the ECOS.jl package, this will also download and install the ECOS binaries. You do not need to install ECOS separately.

To use a custom binary, read the Custom solver binaries section of the JuMP documentation.

Use with JuMP

To use ECOS with JuMP, use ECOS.Optimizer:

using JuMP, ECOS
model = Model(ECOS.Optimizer)
set_attribute(model, "maxit", 100)

MathOptInterface API

The ECOS optimizer supports the following constraints and attributes.

List of supported objective functions:

• MOI.ObjectiveFunction{MOI.ScalarAffineFunction{Float64}}

List of supported variable types:

• MOI.Reals

List of supported constraint types:

• MOI.VectorAffineFunction{Float64} in MOI.Nonnegatives
• MOI.VectorAffineFunction{Float64} in MOI.SecondOrderCone
• MOI.VectorAffineFunction{Float64} in MOI.Zeros

List of supported model attributes:

• MOI.ObjectiveSense()

Options

The following options are supported:

Parameter	Explanation
gamma	scaling the final step length
delta	regularization parameter
eps	regularization threshold
feastol	primal/dual infeasibility tolerance
abstol	absolute tolerance on duality gap
reltol	relative tolerance on duality gap
feastol_inacc	primal/dual infeasibility relaxed tolerance
abstol_inacc	absolute relaxed tolerance on duality gap
reltol_inacc	relative relaxed tolerance on duality gap
nitref	number of iterative refinement steps
maxit	maximum number of iterations
verbose	verbosity bool for PRINTLEVEL < 3