<#56> Add MathOptInterface support

- merge branch 'mg/MOptInterface' into devel

.travis.yml

@@ -12,12 +12,14 @@ notifications:
 git:
   depth: 3
 
+
 ## uncomment the following lines to allow failures on nightly julia
 ## (tests will run but not make your overall status red)
 matrix:
   allow_failures:
     - julia: nightly
 
+
 ## uncomment and modify the following lines to manually install system packages
 #addons:
 #  apt: # apt-get for linux
@@ -29,6 +31,7 @@ matrix:
 ## uncomment the following lines to override the default test script
 script:
    - julia -e 'if VERSION >= v"0.7.0-" using Pkg; end; Pkg.clone(pwd()); Pkg.build("COSMO"); Pkg.test("COSMO"; coverage=true)';
+
 after_success:
   # push coverage results to Codecov
   - julia -e 'if VERSION >= v"0.7.0-" using Pkg; end; cd(Pkg.dir("COSMO")); Pkg.add("Coverage"); using Coverage; Codecov.submit(Codecov.process_folder())'

README.md

@@ -17,7 +17,40 @@ with decision variables `x ϵ R^n`, `s ϵ R^m` and data matrices `P=P'>=0`, `q 
 - Add the package via the package manager (type `]`): `add https://github.com/oxfordcontrol/COSMO.jl`
 - Make the package available with `using COSMO`
 
-### Example
+### Example - JuMP
+We consider the problem of finding the closest correlation matrix X, i.e. PSD and ones on the diagonal, to a random matrix C.
+```julia
+using COSMO, JuMP, LinearAlgebra, SparseArrays, Test, Random
+rng = Random.MersenneTwister(12345);
+
+# Original problem has the following format:
+# min_X   1/2 ||X-C||^2
+# s.t.    Xii = 1
+#         X ⪴ 0
+
+# create a random test matrix C
+n = 8
+C = -1 .+ rand(rng, n, n) .* 2;
+c = vec(C);
+
+# define problem in JuMP
+q = -vec(C);
+r = 0.5 * vec(C)' * vec(C);
+m = Model(with_optimizer(COSMO.Optimizer, verbose=true, eps_abs = 1e-4));
+@variable(m, X[1:n, 1:n], PSD);
+x = vec(X);
+@objective(m, Min, 0.5 * x' * x  + q' * x + r)
+for i = 1:n
+  @constraint(m, X[i, i] == 1.)
+end
+
+# solve and get results
+status = JuMP.optimize!(m)
+obj_val = JuMP.objective_value(m)
+X_sol = JuMP.value.(X)
+``
+
+### Example - Direct solver interface
 ```julia
 using COSMO, LinearAlgebra, SparseArrays, Test
 
@@ -82,7 +115,7 @@ check_termination | Check termination interval | 40
 check_infeasibility | Check infeasibility interval | 40
 scaling | Number of scaling iterations | 10
 adaptive_rho | Automatic adaptation of step size parameter | true
-time_limit | set solver time limit in s | 0
+time_limit | set solver time limit in s | 0.0
 
 For more low-level settings, see the Settings definition in `/src/types.jl`.
 

REQUIRE

@@ -1 +1,2 @@
-julia 0.7
+julia 0.7
+MathOptInterface 0.8 0.9

examples/closest_correlation_matrix.jl

@@ -0,0 +1,47 @@
+# Test script to test solver with JuMP on a closest correlation matrix problem
+using COSMO, JuMP, LinearAlgebra, SparseArrays, Test, Random
+rng = Random.MersenneTwister(12345);
+
+# Original problem has the following format:
+# min_X   1/2 ||X-C||^2
+# s.t.    Xii = 1
+#         X ⪴ 0
+
+# create a random test matrix C
+n = 8
+C = -1 .+ rand(rng, n, n) .* 2;
+c = vec(C);
+
+# define problem in JuMP
+q = -vec(C);
+r = 0.5 * vec(C)' * vec(C);
+m = Model(with_optimizer(COSMO.Optimizer, verbose=true, eps_abs = 1e-4));
+@variable(m, X[1:n, 1:n], PSD);
+x = vec(X);
+@objective(m, Min, 0.5 * x' * x  + q' * x + r)
+for i = 1:n
+  @constraint(m, X[i, i] == 1.)
+end
+
+# solve and get results
+status = JuMP.optimize!(m)
+obj_val = JuMP.objective_value(m)
+X_sol = JuMP.value.(X)
+
+known_opt_val = 12.5406
+known_solution =  [
+  1.0         0.732562   -0.319491   -0.359985   -0.287543   -0.15578     0.0264044  -0.271438;
+  0.732562    1.0         0.0913246  -0.0386357   0.299199   -0.122733    0.126612   -0.187489;
+ -0.319491    0.0913246   1.0        -0.0863377   0.432948    0.461783   -0.248641   -0.395299;
+ -0.359985   -0.0386357  -0.0863377   1.0         0.503379    0.250601    0.141151    0.286088;
+ -0.287543    0.299199    0.432948    0.503379    1.0        -0.0875199   0.137518    0.0262425;
+ -0.15578    -0.122733    0.461783    0.250601   -0.0875199   1.0        -0.731556    0.0841783;
+  0.0264044   0.126612   -0.248641    0.141151    0.137518   -0.731556    1.0        -0.436274;
+ -0.271438   -0.187489   -0.395299    0.286088    0.0262425   0.0841783  -0.436274    1.0  ];
+
+
+@testset "Closest correlation matrix example" begin
+  @test isapprox(obj_val, known_opt_val , atol=1e-3)
+  @test norm(X_sol - known_solution, Inf) < 1e-3
+end
+nothing

src/COSMO.jl

@@ -25,5 +25,6 @@ include("./printing.jl")            # TODO: unmodified - revisit
 include("./setup.jl")               # TODO: unmodified - revisit (short - consolidate?)
 include("./solver.jl")              # TODO: unmodified - revisit
 include("./interface.jl")           # TODO: unmodified - revisit
+include("./MOIWrapper.jl")
 
 end #end module