[SciPy-user] Semidefinite programming in scipy ?

Nils Wagner nwagner at mecha.uni-stuttgart.de
Mon Jul 4 14:45:22 CDT 2005


On Mon, 4 Jul 2005 11:39:32 -0400
  Zhiwen Chong <zhiwen.chong at elf.mcgill.ca> wrote:
> Hi Nils,
> 
> On 4-Jul-05, at 9:53 AM, Nils Wagner wrote:
>> Is it possible to solve semidefinite programs with scipy 
>>?
>>
>> minimize t
>> subject to t I -A(x) \ge 0
>>
>> with variables x \in R^k and t \in R. A(x) depends 
>>affinely on x  
>> and I denotes the identity.
>>
>> Reference:
>> Vandenberghe, L., Boyd, S.
>> Semidefinite Programming
>> SIAM Review 38 1996 pp. 49-95
> 
> This probably doesn't answer your question, but might 
>give you some  ideas:
> 
> My project involves extensive use of large-scale 
>optimization, and  what I did was to write a 
>meta-language (using the pyparsing module)  to generate 
>AMPL code from a simpler syntax describing my problem. 
> AMPL in turn generates a stub for any number of high 
>performance  solvers that support it. By taking this 
>approach, my NLP isn't tied  to any single solver, and I 
>will have the freedom to try different  solvers if I 
>should need to in the future. (though I am currently 
> using IPOPT exclusively, available for free at 
>http://www.coin-or.org/ Ipopt/)
> 
> The only snag is that AMPL is not free, but it really is 
>a very good  mathematical programming language, and 
>academic licenses are fairly  inexpensive. If your 
>problem is very complicated or very large, it is  usually 
>much easier to write it in a dedicated mathematical 
> programming language than a general purpose one.
> 
>For SDPs in particular, you may want to look at PENNON.
> http://www2.am.uni-erlangen.de/~kocvara/pennon/
> 
> It uses the SDPA input file -- perhaps it is possible to 
>write some  code in Python to generate one of these 
>chappies?
> 
> 
> 
> Zhiwen Chong

Hi Zhiwen,

Thank you for your valuable hints.
Actually, I am interested in eigenvalue optimization.
Are you aware of freely available software for this
topic ?

I look forward to hearing from you.

Thanks in advance.

Regards,
            Nils


> --------------------------------
> McMaster Advanced Control Consortium
> Dept. of Chemical Engineering
> McMaster University
> Hamilton ON  L8S 4L7
> Canada
> Tel:   (905) 525-9140  Ext. 22008
>FAX: (905) 521-1350
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