Does anyone know how to solve MI-SDP problem in Julia?

Specific Domains Optimization (Mathematical)
#1

I am working on an MI-SDP model and I have no idea how to solve it using Julia. I tried solving the model in convex using MOSEK as a solver, it turns out it failed, throwing some nasty error.

Any ideas on solving Mixed Integer SDP in julia is appreciated and thanks!!

#2

I can recomend the Pajarito solver. It combines a MIP solver and an SDP solver to solve MISDP.

1 Like
#3

Thanks, really thanks. So I access pajarito through convex or JuMP?

#4

I use JuMP, but I believe it connects to convex as well.

#5

I am trying to solve MI-SDP in PowerModels with JuMP 19.2. After trying different packages, my observations are followings. correct me if I am wrong.

  • Pajarito and SCIP are yet to support this JuMP version
  • Juniper does not support constraints written in JuMP.secondordercone format
  • Mosek can not solve MISDP
    Is there a workaround or other packages I can try? Any help is appreciated. Thank you!
#6

SCIP itself should work fine with JuMP 0.19.2; do you mean that SCIP-SDP has not been wrapped?

#7

Yes, you are right. I made a mistake. SCIP supports the JuMP version but I am not sure if SCIP-SDP is available in Julia.

#8

Do you know if there are any developments in this area?
It seems to me that Pajarito can still not be used.

#9

No. Help updating Pajarito also appreciated.

#10

Sorry for bothering you two different places. I would like to help. Have no experience developing other people’s code though. How can I help? Are there any guidelines for contributing, or explanation about the structure of your package?