SCS.jl

SCS.jl is a wrapper for the SCS splitting cone solver.

SCS can solve linear programs, second-order cone programs, semidefinite programs, exponential cone programs, and power cone programs.

Affiliation

This wrapper is maintained by the JuMP community and is not a project of the SCS developers.

License

SCS.jl is licensed under the MIT License.

The underlying solver, cvxgrp/scs, is licensed under the MIT License.

Installation

Install SCS.jl using the Julia package manager:

import Pkg
Pkg.add("SCS")

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

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

Use with Convex.jl

This example shows how we can model a simple knapsack problem with Convex and use SCS to solve it.

using Convex, SCS
items  = [:Gold, :Silver, :Bronze]
values = [5.0, 3.0, 1.0]
weights = [2.0, 1.5, 0.3]

# Define a variable of size 3, each index representing an item
x = Variable(3)
p = maximize(x' * values, 0 <= x, x <= 1, x' * weights <= 3)
solve!(p, SCS.Optimizer)
println([items x.value])
# [:Gold 0.9999971880377178
#  :Silver 0.46667637765641057
#  :Bronze 0.9999998036351865]

Use with JuMP

This example shows how we can model a simple knapsack problem with JuMP and use SCS to solve it.

using JuMP, SCS
items  = [:Gold, :Silver, :Bronze]
values = Dict(:Gold => 5.0,  :Silver => 3.0,  :Bronze => 1.0)
weight = Dict(:Gold => 2.0,  :Silver => 1.5,  :Bronze => 0.3)

model = Model(SCS.Optimizer)
@variable(model, 0 <= take[items] <= 1)  # Define a variable for each item
@objective(model, Max, sum(values[item] * take[item] for item in items))
@constraint(model, sum(weight[item] * take[item] for item in items) <= 3)
optimize!(model)
println(value.(take))
# 1-dimensional DenseAxisArray{Float64,1,...} with index sets:
#     Dimension 1, Symbol[:Gold, :Silver, :Bronze]
# And data, a 3-element Array{Float64,1}:
#  1.0000002002226671
#  0.4666659513182934
#  1.0000007732744878

MathOptInterface API

The SCS 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.DualExponentialCone
• MOI.VectorAffineFunction{Float64} in MOI.DualPowerCone{Float64}
• MOI.VectorAffineFunction{Float64} in MOI.ExponentialCone
• MOI.VectorAffineFunction{Float64} in MOI.Nonnegatives
• MOI.VectorAffineFunction{Float64} in MOI.PowerCone{Float64}
• MOI.VectorAffineFunction{Float64} in MOI.SecondOrderCone
• MOI.VectorAffineFunction{Float64} in MOI.Zeros
• MOI.VectorAffineFunction{Float64} in SCS.ScaledPSDCone

List of supported model attributes:

• MOI.ObjectiveSense()

Options

All SCS solver options can be set through Convex.jl or MathOptInterface.jl.

For example:

model = Model(optimizer_with_attributes(SCS.Optimizer, "max_iters" => 10))

# via MathOptInterface:
optimizer = SCS.Optimizer()
MOI.set(optimizer, MOI.RawOptimizerAttribute("max_iters"), 10)
MOI.set(optimizer, MOI.RawOptimizerAttribute("verbose"), 0)

Common options are:

• max_iters: the maximum number of iterations to take
• verbose: turn printing on (1) or off (0) See the glbopts.h header for other options.

Linear solvers

SCS uses a linear solver internally, see this section of SCS documentation. SCS.jl ships with the following linear solvers:

• SCS.DirectSolver (sparse direct, the default)
• SCS.IndirectSolver (sparse indirect, by conjugate gradient)

To select the linear solver, set the linear_solver option, or pass the solver as the first argument when using scs_solve directly (see the low-level wrapper section below). For example:

using JuMP, SCS
model = Model(SCS.Optimizer)
set_attribute(model, "linear_solver", SCS.IndirectSolver)

SCS with MKL Pardiso linear solver

SCS.jl v2.0 introduced a breaking change. You now need to use SCS_MKL_jll instead of MKL_jll.

To enable the MKL Pardiso (direct sparse) solver one needs to install and load SCS_MKL_jll.

julia> import Pkg; Pkg.add("SCS_MKL_jll");

julia> using SCS, SCS_MKL_jll

julia> using SCS

julia> SCS.is_available(SCS.MKLDirectSolver)
true

The MKLDirectSolver is available on Linux x86_64 platform only.

SCS with Sparse GPU indirect solver (CUDA only)

SCS.jl v2.0 introduced a breaking change. You now need to use SCS_GPU_jll instead of CUDA_jll.

To enable the indirect linear solver on GPU one needs to install and load SCS_GPU_jll.

julia> import Pkg; Pkg.add("SCS_GPU_jll");

julia> using SCS, SCS_GPU_jll

julia> SCS.is_available(SCS.GpuIndirectSolver)
true

The GpuIndirectSolver is available on Linux x86_64 platform only.

Low-level wrapper

SCS.jl provides a low-level interface to solve a problem directly, without interfacing through MathOptInterface.

This is an advanced interface with a risk of incorrect usage. For new users, we recommend that you use the JuMP or Convex interfaces instead.

SCS solves a problem of the form:

minimize        1/2 * x' * P * x + c' * x
subject to      A * x + s = b
                s in K

where K is a product cone of:

• zero cone
• positive orthant { x | x ≥ 0 }
• box cone { (t,x) | t*l ≤ x ≤ t*u}
• second-order cone (SOC) { (t,x) | ||x||_2 ≤ t }
• semi-definite cone (SDC) { X | X is psd }
• exponential cone { (x,y,z) | y e^(x/y) ≤ z, y>0 }
• power cone { (x,y,z) | x^a * y^(1-a) ≥ |z|, x ≥ 0, y ≥ 0 }
• dual power cone { (u,v,w) | (u/a)^a * (v/(1-a))^(1-a) ≥ |w|, u ≥ 0, v ≥ 0 }.

To solve this problem with SCS, call SCS.scs_solve; see the docstring for details.