Add Pennon

Project.toml

@@ -1,7 +1,7 @@
 name = "Penopt"
 uuid = "fb8f6f4e-b8f1-11e9-2b95-bdba3fec731e"
 authors = ["Michal Kocvara <kocvara@penopt.com>", "Benoît Legat <benoit.legat@gmail.com>", "Michael Stingl <mstingl@penopt.com>"]
-version = "0.0.0"
+version = "0.1.0"
 
 [deps]
 Libdl = "8f399da3-3557-5675-b5ff-fb832c97cbdb"
@@ -12,7 +12,7 @@ OpenBLAS32_jll = "656ef2d0-ae68-5445-9ca0-591084a874a2"
 [compat]
 Libdl = "1.10"
 LinearAlgebra = "1.10"
-MathOptInterface = "1"
+MathOptInterface = "1.54"
 OpenBLAS32_jll = "0.3"
 julia = "1.10"
 

README.md

@@ -60,14 +60,28 @@ location of the library, update `PENOPT_LIBPENBMI`, re-run
 
 Whether PENBMI is available is given by `Penopt.has_penbmi()`.
 
+### PENNON
+
+The nonlinear PENNON backend is enabled by setting `PENOPT_LIBPENNON` to a
+PENNON shared library or static archive, re-running `Pkg.build("Penopt")`, and
+restarting Julia, as for PENBMI. Availability is reported by
+`Penopt.has_pennon()`.
+
+`Penopt.Pennon.Optimizer` accepts nonlinear scalar objectives and constraints,
+and accepts nonlinear semidefinite constraints as an
+`MOI.VectorNonlinearFunction` in an
+`MOI.PositiveSemidefiniteConeTriangle`. Derivatives are evaluated with MOI's
+sparse reverse-mode automatic differentiation.
+
 You can test the installation with `using Pkg; Pkg.test("Penopt")` in a Julia
 session.
 
 ## Use with JuMP
 
 Pick the solver explicitly: `Penopt.SDP.Optimizer` solves semidefinite programs
 with PENSDP, `Penopt.BMI.Optimizer` solves bilinear matrix inequalities and
-quadratic objectives with PENBMI.
+quadratic objectives with PENBMI, and `Penopt.Pennon.Optimizer` solves general
+nonlinear semidefinite programs with PENNON.
 
 ```julia
 using JuMP, Penopt

deps/build.jl

@@ -7,12 +7,10 @@
 # https://github.com/kocvara/pensdp
 #
 # PENSDP is the free SDP-only variant of the PENOPT family of solvers. The
-# BMI-capable PENBMI is a commercial product; if the user has a PENBMI license,
-# the path to `libpenbmi` can be provided via the `PENOPT_LIBPENBMI`
-# environment variable and it will be used in addition to the auto-installed
-# PENSDP library. The path may point either to a shared library, which is used
-# as is, or to the static archive shipped by PENOPT, in which case a shared
-# library is linked from it here.
+# BMI-capable PENBMI and nonlinear PENNON libraries may be provided with the
+# `PENOPT_LIBPENBMI` and `PENOPT_LIBPENNON` environment variables. A path may
+# point either to a shared library, which is used as is, or to the static
+# archive shipped by PENOPT, in which case a shared library is linked here.
 
 using Libdl
 
@@ -120,43 +118,49 @@ end
 # shared library with an unusual name is still recognized as such.
 _is_static_library(path) = open(io -> read(io, 8), path) == b"!<arch>\n"
 
-# PENBMI is distributed as a static library. Julia can only `ccall` into a
-# shared library so the archive is relinked into one, with all its objects
-# force-loaded so that the `penbmi` symbol is exported.
-function _build_libpenbmi(archive)
+# Julia can only `ccall` into a shared library, so PENOPT static archives are
+# relinked here. `entrypoint` avoids force-loading optional objects that depend
+# on interfaces, such as AMPL, that are not used by this wrapper.
+function _build_penopt_library(archive, name; entrypoint = nothing)
     mkpath(LIB_DIR)
-    output = joinpath(LIB_DIR, "libpenbmi.$(Libdl.dlext)")
+    output = joinpath(LIB_DIR, "lib$(name).$(Libdl.dlext)")
     julia_libdir = joinpath(Sys.BINDIR, Base.LIBDIR, "julia")
     os, _ = _platform()
     if os == :linux
         # PENBMI calls the LP64 BLAS and LAPACK, so the 32-bit-integer OpenBLAS
         # is linked in rather than the ILP64 one that Julia itself uses.
         libopenblas = OpenBLAS32_jll.libopenblas_path
+        archive_args = entrypoint === nothing ?
+            `-Wl,--whole-archive $(archive) -Wl,--no-whole-archive` :
+            `-Wl,-u,$(entrypoint) $(archive)`
         cmd = `gcc -shared -fPIC -o $(output)
-                   -Wl,--no-undefined
-                   -Wl,--whole-archive $(archive) -Wl,--no-whole-archive
+                   -Wl,--no-undefined $(archive_args)
                    -L$(julia_libdir) -Wl,-rpath,$(julia_libdir)
                    $(libopenblas) -Wl,-rpath,$(dirname(libopenblas))
                    -lgfortran -lpthread -ldl -lm`
     elseif os == :apple
+        archive_args = entrypoint === nothing ?
+            `-Wl,-force_load,$(archive)` : `-Wl,-u,_$(entrypoint) $(archive)`
         cmd = `gcc -dynamiclib -o $(output)
-                   -Wl,-force_load,$(archive)
+                   $(archive_args)
                    -framework Accelerate
                    -L$(julia_libdir) -Wl,-rpath,$(julia_libdir)
                    -lgfortran -lpthread -lm`
     else
         error(
             "Linking `$(archive)` into a shared library is currently " *
             "implemented for Linux and macOS only. On Windows, build " *
-            "`penbmi.dll` manually, point `PENOPT_LIBPENBMI` at it and " *
-            "re-run `Pkg.build(\"Penopt\")`.",
+            "`lib$(name).dll` manually, point the corresponding PENOPT " *
+            "environment variable at it, and re-run `Pkg.build(\"Penopt\")`.",
         )
     end
     @info "Linking shared library" cmd
     run(cmd)
     return output
 end
 
+_build_libpenbmi(archive) = _build_penopt_library(archive, "penbmi")
+
 function _libpenbmi_path()
     path = get(ENV, "PENOPT_LIBPENBMI", "")
     if isempty(path)
@@ -170,7 +174,21 @@ function _libpenbmi_path()
     return _is_static_library(path) ? _build_libpenbmi(path) : path
 end
 
-function _write_deps(libpensdp_path, libpenbmi_path)
+function _libpennon_path()
+    path = get(ENV, "PENOPT_LIBPENNON", "")
+    if isempty(path)
+        return path
+    elseif !isfile(path)
+        error(
+            "The `PENOPT_LIBPENNON` environment variable is set to " *
+            "`$(path)` but no such file exists.",
+        )
+    end
+    return _is_static_library(path) ?
+           _build_penopt_library(path, "pennon"; entrypoint = "pennlp") : path
+end
+
+function _write_deps(libpensdp_path, libpenbmi_path, libpennon_path)
     open(joinpath(DEPS_DIR, "deps.jl"), "w") do io
         println(io, "# Auto-generated by deps/build.jl - do not edit.")
         println(io, "import Libdl")
@@ -180,6 +198,7 @@ function _write_deps(libpensdp_path, libpenbmi_path)
         # string. `has_penbmi()` guards every ccall in `Penopt.jl`, so the
         # `ccall((:penbmi, libpenbmi), ...)` site is never reached.
         println(io, "const libpenbmi = ", repr(libpenbmi_path))
+        println(io, "const libpennon = ", repr(libpennon_path))
         println(io)
         println(io, """
             function check_deps()
@@ -203,6 +222,14 @@ function _write_deps(libpensdp_path, libpenbmi_path)
                         error(\"\$(libpenbmi) cannot be opened.\")
                     end
                 end
+                if !isempty(libpennon)
+                    if !isfile(libpennon)
+                        error("\$(libpennon) does not exist.")
+                    end
+                    if Libdl.dlopen_e(libpennon) == C_NULL
+                        error("\$(libpennon) cannot be opened.")
+                    end
+                end
                 return
             end""")
     end
@@ -211,13 +238,17 @@ end
 
 function main()
     libpenbmi_path = _libpenbmi_path()
+    libpennon_path = _libpennon_path()
     extract_dir = _download_and_extract()
     libpensdp_path = _build_shared_library(extract_dir)
-    _write_deps(libpensdp_path, libpenbmi_path)
+    _write_deps(libpensdp_path, libpenbmi_path, libpennon_path)
     @info "Penopt: PENSDP installed at $(libpensdp_path)"
     if !isempty(libpenbmi_path)
         @info "Penopt: PENBMI installed at $(libpenbmi_path)"
     end
+    if !isempty(libpennon_path)
+        @info "Penopt: PENNON installed at $(libpennon_path)"
+    end
     return
 end