Clarabel.jl

<p align="center"> <picture> <source media="(prefers-color-scheme: dark)" srcset="https://raw.githubusercontent.com/oxfordcontrol/ClarabelDocs/main/docs/src/assets/logo-banner-dark-jl.png"> <source media="(prefers-color-scheme: light)" srcset="https://raw.githubusercontent.com/oxfordcontrol/ClarabelDocs/main/docs/src/assets/logo-banner-light-jl.png"> <img alt="Clarabel.jl logo" src="https://raw.githubusercontent.com/oxfordcontrol/ClarabelDocs/main/docs/src/assets/logo-banner-light-jl.png" width="66%"> </picture> <h1 align="center" margin=0px> Interior Point Conic Optimization for Julia </h1> <a href="https://github.com/oxfordcontrol/Clarabel.jl/actions"><img src="https://github.com/oxfordcontrol/Clarabel.jl/workflows/ci/badge.svg?branch=main"></a> <a href="https://codecov.io/gh/oxfordcontrol/Clarabel.jl"><img src="https://codecov.io/gh/oxfordcontrol/Clarabel.jl/branch/main/graph/badge.svg"></a> <a href="https://oxfordcontrol.github.io/ClarabelDocs/stable"><img src="https://img.shields.io/badge/Documentation-stable-purple.svg"></a> <a href="https://opensource.org/licenses/Apache-2.0"><img src="https://img.shields.io/badge/License-Apache%202.0-blue.svg"></a> <a href="https://github.com/oxfordcontrol/Clarabel.jl/releases"><img src="https://img.shields.io/badge/Release-v0.11.0-blue.svg"></a> </p> <p align="center"> <a href="#features">Features</a> • <a href="#installation">Installation</a> • <a href="#license-">License</a> • <a href="https://oxfordcontrol.github.io/ClarabelDocs/stable">Documentation</a> </p>

Clarabel.jl is a Julia implementation of an interior point numerical solver for convex optimization problems using a novel homogeneous embedding. Clarabel.jl solves the following problem:

$$ \begin{array}{r} \text{minimize} & \frac{1}{2}x^T P x + q^T x\\[2ex] \text{subject to} & Ax + s = b \\[1ex] & s \in \mathcal{K} \end{array} $$

with decision variables $x \in \mathbb{R}^n$, $s \in \mathbb{R}^m$ and data matrices $P=P^\top \succeq 0$, $q \in \mathbb{R}^n$, $A \in \mathbb{R}^{m \times n}$, and $b \in \mathbb{R}^m$. The convex set $\mathcal{K}$ is a composition of convex cones.

For more information see the Clarabel Documentation (stable | dev).

Clarabel is also available in a Rust implementation with additional language interfaces. See here.

Features

• Versatile: Clarabel.jl solves linear programs (LPs), quadratic programs (QPs), second-order cone programs (SOCPs) and semidefinite programs (SDPs). It also solves problems with exponential, power cone and generalized power cone constraints.
• Quadratic objectives: Unlike interior point solvers based on the standard homogeneous self-dual embedding (HSDE), Clarabel.jl handles quadratic objectives without requiring any epigraphical reformulation of the objective. It can therefore be significantly faster than other HSDE-based solvers for problems with quadratic objective functions.
• Infeasibility detection: Infeasible problems are detected using a homogeneous embedding technique.
• JuMP / Convex.jl support: We provide an interface to MathOptInterface (MOI), which allows you to describe your problem in JuMP and Convex.jl.
• Arbitrary precision types: You can solve problems with any floating point precision, for example, Float32 or Julia's BigFloat type, using either the native interface, or via MathOptInterface / Convex.jl.
• Open Source: Our code is available on GitHub and distributed under the Apache 2.0 License

Installation

• Clarabel.jl can be added via the Julia package manager (type ]): pkg> add Clarabel

Citing

@misc{Clarabel_2024,
      title={Clarabel: An interior-point solver for conic programs with quadratic objectives}, 
      author={Paul J. Goulart and Yuwen Chen},
      year={2024},
      eprint={2405.12762},
      archivePrefix={arXiv},
      primaryClass={math.OC}
}

License 🔍

This project is licensed under the Apache License 2.0 - see the LICENSE.md file for details.