QCQP to mosek monolithic and chordal SDPs

.gitignore

@@ -34,3 +34,4 @@ conductor/
 .ccache/
 gtsam_unstable/timing/data/
 timing/results/bayes_tree_covariance/
+_agent/docs

CMakeLists.txt

@@ -123,6 +123,7 @@ include(cmake/HandleEigen.cmake)            # Eigen3
 include(cmake/HandleMetis.cmake)            # metis
 include(cmake/HandleCephes.cmake)           # cephes
 include(cmake/HandleMKL.cmake)              # MKL
+include(cmake/HandleMOSEK.cmake)            # MOSEK SDP solver, optional
 include(cmake/HandleOpenMP.cmake)           # OpenMP
 include(cmake/HandlePerfTools.cmake)        # Google perftools
 include(cmake/HandlePython.cmake)           # Python options and commands
@@ -142,6 +143,9 @@ add_subdirectory(CppUnitLite)
 # Build GTSAM library
 add_subdirectory(gtsam)
 
+# Build certifiable examples
+add_subdirectory(gtsam/certifiable)
+
 # Build Tests
 add_subdirectory(tests)
 
@@ -209,4 +213,4 @@ include(cmake/HandlePrintConfiguration.cmake)
 include(cmake/HandleFinalChecks.cmake)
 
 # Include CPack *after* all flags
-include(CPack)
+include(CPack)

cmake/FindMOSEK.cmake

@@ -0,0 +1,141 @@
+# FindMOSEK.cmake - Find MOSEK Fusion API.
+#
+# Sets:
+#   MOSEK_FOUND          - True if MOSEK was found.
+#   MOSEK_INCLUDE_DIRS   - Include directories for Fusion.
+#   MOSEK_LIBRARIES      - Libraries to link.
+#   MOSEK_LIBRARY_DIR    - Runtime library directory, for rpath.
+#   MOSEK_FUSION_SOURCES - Optional Fusion C++ sources when the package does
+#                          not ship a prebuilt Fusion runtime library.
+
+set(MOSEK_ROOT "" CACHE PATH
+    "Path to MOSEK platform directory (contains h/ and bin/), e.g. .../tools/platform/osxaarch64")
+
+set(_MOSEK_PLATFORMS)
+if(APPLE)
+  if(CMAKE_SYSTEM_PROCESSOR MATCHES "^(arm64|aarch64)$")
+    list(APPEND _MOSEK_PLATFORMS osxaarch64)
+  endif()
+  list(APPEND _MOSEK_PLATFORMS osx64x86)
+elseif(UNIX)
+  list(APPEND _MOSEK_PLATFORMS linux64x86)
+elseif(WIN32)
+  list(APPEND _MOSEK_PLATFORMS win64x86)
+endif()
+
+set(_MOSEK_BASE_CANDIDATES)
+if(MOSEK_ROOT)
+  list(APPEND _MOSEK_BASE_CANDIDATES "${MOSEK_ROOT}")
+endif()
+if(DEFINED ENV{MOSEK_ROOT} AND NOT "$ENV{MOSEK_ROOT}" STREQUAL "")
+  list(APPEND _MOSEK_BASE_CANDIDATES "$ENV{MOSEK_ROOT}")
+endif()
+if(DEFINED ENV{MOSEK_HOME} AND NOT "$ENV{MOSEK_HOME}" STREQUAL "")
+  list(APPEND _MOSEK_BASE_CANDIDATES "$ENV{MOSEK_HOME}")
+endif()
+if(DEFINED ENV{HOME} AND NOT "$ENV{HOME}" STREQUAL "")
+  list(APPEND _MOSEK_BASE_CANDIDATES
+      "$ENV{HOME}/Desktop/mosek"
+      "$ENV{HOME}/Desktop/MOSEK/mosek"
+      "$ENV{HOME}/mosek")
+endif()
+
+set(_MOSEK_HINT_PATHS)
+foreach(_base IN LISTS _MOSEK_BASE_CANDIDATES)
+  if(NOT _base)
+    continue()
+  endif()
+
+  list(APPEND _MOSEK_HINT_PATHS "${_base}")
+
+  file(GLOB _mosek_version_dirs "${_base}/*/tools/platform")
+  foreach(_platform_root IN LISTS _mosek_version_dirs)
+    foreach(_platform IN LISTS _MOSEK_PLATFORMS)
+      list(APPEND _MOSEK_HINT_PATHS "${_platform_root}/${_platform}")
+    endforeach()
+  endforeach()
+
+  foreach(_platform IN LISTS _MOSEK_PLATFORMS)
+    list(APPEND _MOSEK_HINT_PATHS "${_base}/tools/platform/${_platform}")
+  endforeach()
+endforeach()
+list(REMOVE_DUPLICATES _MOSEK_HINT_PATHS)
+
+find_path(MOSEK_INCLUDE_DIR
+    NAMES fusion.h
+    HINTS ${_MOSEK_HINT_PATHS}
+    PATH_SUFFIXES h
+)
+
+find_library(MOSEK_LIBRARY
+    NAMES mosek64 mosek64.12.0 mosek64.11.1 mosek64.11.0 mosek64.10.2
+    HINTS ${_MOSEK_HINT_PATHS}
+    PATH_SUFFIXES bin
+)
+
+find_library(MOSEK_FUSION_LIBRARY
+    NAMES fusion64 fusion
+    HINTS ${_MOSEK_HINT_PATHS}
+    PATH_SUFFIXES bin
+)
+
+set(MOSEK_FUSION_SOURCES "")
+set(MOSEK_FUSION_AVAILABLE FALSE)
+set(_MOSEK_FUSION_SRC_DIR "")
+
+if(MOSEK_FUSION_LIBRARY)
+  set(MOSEK_FUSION_AVAILABLE TRUE)
+else()
+  set(_MOSEK_FUSION_SRC_CANDIDATES)
+  foreach(_hint IN LISTS _MOSEK_HINT_PATHS)
+    list(APPEND _MOSEK_FUSION_SRC_CANDIDATES "${_hint}/src/fusion_cxx")
+  endforeach()
+  if(MOSEK_ROOT)
+    list(APPEND _MOSEK_FUSION_SRC_CANDIDATES "${MOSEK_ROOT}/src/fusion_cxx")
+  endif()
+  if(MOSEK_INCLUDE_DIR)
+    get_filename_component(_MOSEK_PLATFORM_ROOT "${MOSEK_INCLUDE_DIR}" DIRECTORY)
+    list(APPEND _MOSEK_FUSION_SRC_CANDIDATES
+        "${_MOSEK_PLATFORM_ROOT}/src/fusion_cxx")
+  endif()
+  list(REMOVE_DUPLICATES _MOSEK_FUSION_SRC_CANDIDATES)
+
+  # Some MOSEK packages ship Fusion C++ as source instead of a runtime library.
+  # Check all resolved platform candidates, not just the user-supplied root.
+  foreach(_src_dir IN LISTS _MOSEK_FUSION_SRC_CANDIDATES)
+    if(EXISTS "${_src_dir}/fusion.cc")
+      set(_MOSEK_FUSION_SRC_DIR "${_src_dir}")
+      file(GLOB MOSEK_FUSION_SOURCES "${_MOSEK_FUSION_SRC_DIR}/*.cc")
+      if(MOSEK_FUSION_SOURCES)
+        set(MOSEK_FUSION_AVAILABLE TRUE)
+      endif()
+      break()
+    endif()
+  endforeach()
+endif()
+
+include(FindPackageHandleStandardArgs)
+find_package_handle_standard_args(MOSEK DEFAULT_MSG
+    MOSEK_INCLUDE_DIR MOSEK_LIBRARY MOSEK_FUSION_AVAILABLE)
+
+if(MOSEK_FOUND)
+  set(MOSEK_INCLUDE_DIRS ${MOSEK_INCLUDE_DIR})
+  if(_MOSEK_FUSION_SRC_DIR)
+    list(APPEND MOSEK_INCLUDE_DIRS "${_MOSEK_FUSION_SRC_DIR}")
+    list(REMOVE_DUPLICATES MOSEK_INCLUDE_DIRS)
+  endif()
+  if(MOSEK_FUSION_LIBRARY)
+    set(MOSEK_LIBRARIES ${MOSEK_FUSION_LIBRARY} ${MOSEK_LIBRARY})
+  else()
+    set(MOSEK_LIBRARIES ${MOSEK_LIBRARY})
+  endif()
+  get_filename_component(MOSEK_LIBRARY_DIR ${MOSEK_LIBRARY} DIRECTORY)
+
+  if(NOT MOSEK_ROOT)
+    get_filename_component(_MOSEK_INCLUDE_PARENT "${MOSEK_INCLUDE_DIR}" DIRECTORY)
+    set(MOSEK_ROOT "${_MOSEK_INCLUDE_PARENT}" CACHE PATH
+        "Path to MOSEK platform directory (contains h/ and bin/)" FORCE)
+  endif()
+endif()
+
+mark_as_advanced(MOSEK_INCLUDE_DIR MOSEK_LIBRARY MOSEK_FUSION_LIBRARY)

cmake/HandleMOSEK.cmake

@@ -0,0 +1,46 @@
+###############################################################################
+# Handle MOSEK Fusion API for SDP solving.
+# MOSEK is OFF by default so normal GTSAM builds do not need MOSEK installed.
+
+option(GTSAM_WITH_MOSEK "Build with MOSEK SDP solver support" OFF)
+
+if(GTSAM_WITH_MOSEK)
+  find_package(MOSEK)
+  if(MOSEK_FOUND)
+    message(STATUS "Found MOSEK: ${MOSEK_INCLUDE_DIRS}")
+    message(STATUS "MOSEK libraries: ${MOSEK_LIBRARIES}")
+    if(MOSEK_FUSION_LIBRARY)
+      message(STATUS "MOSEK Fusion backend: prebuilt library")
+    elseif(MOSEK_FUSION_SOURCES)
+      message(STATUS "MOSEK Fusion backend: source files")
+    endif()
+
+    set(MOSEK_LICENSE_FILE "$ENV{MOSEKLM_LICENSE_FILE}" CACHE FILEPATH
+        "Path to MOSEK license file (mosek.lic)")
+    if(NOT MOSEK_LICENSE_FILE)
+      message(WARNING "MOSEK_LICENSE_FILE is not set. Tests will fail unless "
+          "MOSEKLM_LICENSE_FILE is set in the environment. Pass "
+          "-DMOSEK_LICENSE_FILE=/path/to/mosek.lic to cmake, or set the "
+          "MOSEKLM_LICENSE_FILE environment variable.")
+    elseif(NOT EXISTS "${MOSEK_LICENSE_FILE}")
+      message(WARNING "MOSEK_LICENSE_FILE does not exist: ${MOSEK_LICENSE_FILE}")
+    endif()
+
+    set(GTSAM_USE_MOSEK 1)
+    list(APPEND GTSAM_ADDITIONAL_LIBRARIES ${MOSEK_LIBRARIES})
+    list(APPEND GTSAM_ADDITIONAL_INCLUDE_DIRS ${MOSEK_INCLUDE_DIRS})
+    if(MOSEK_FUSION_SOURCES)
+      list(APPEND GTSAM_ADDITIONAL_SOURCES ${MOSEK_FUSION_SOURCES})
+    endif()
+
+    if(NOT WIN32)
+      set(CMAKE_INSTALL_RPATH "${CMAKE_INSTALL_RPATH};${MOSEK_LIBRARY_DIR}")
+      set(CMAKE_BUILD_RPATH "${CMAKE_BUILD_RPATH};${MOSEK_LIBRARY_DIR}")
+    endif()
+  else()
+    message(FATAL_ERROR "GTSAM_WITH_MOSEK is ON but MOSEK was not found. "
+        "Please set MOSEK_ROOT to your MOSEK installation path.")
+  endif()
+else()
+  set(GTSAM_USE_MOSEK 0)
+endif()

gtsam/CMakeLists.txt

@@ -91,6 +91,15 @@ foreach(subdir ${gtsam_subdirs})
 	list(APPEND gtsam_srcs ${${subdir}_srcs})
 endforeach(subdir)
 list(APPEND gtsam_srcs ${gtsam_core_headers})
+if(GTSAM_ADDITIONAL_SOURCES)
+  list(APPEND gtsam_srcs ${GTSAM_ADDITIONAL_SOURCES})
+  gtsam_assign_source_folders("${GTSAM_ADDITIONAL_SOURCES}")
+  if(MSVC)
+    set_source_files_properties(${GTSAM_ADDITIONAL_SOURCES} PROPERTIES COMPILE_FLAGS "/w")
+  else()
+    set_source_files_properties(${GTSAM_ADDITIONAL_SOURCES} PROPERTIES COMPILE_FLAGS "-w")
+  endif()
+endif()
 
 IF(MSVC)
 	# Add precompiled header to sources
@@ -137,6 +146,9 @@ message(STATUS "Building GTSAM - as a ${GTSAM_LIBRARY_TYPE} library")
 add_library(gtsam ${GTSAM_LIBRARY_TYPE} ${gtsam_srcs})
 target_link_libraries(gtsam PUBLIC ${GTSAM_BOOST_LIBRARIES})
 target_link_libraries(gtsam PUBLIC ${GTSAM_ADDITIONAL_LIBRARIES})
+if(GTSAM_ADDITIONAL_INCLUDE_DIRS)
+  target_include_directories(gtsam SYSTEM PRIVATE ${GTSAM_ADDITIONAL_INCLUDE_DIRS})
+endif()
 
 # Apply build flags:
 gtsam_apply_build_flags(gtsam)

gtsam/certifiable/CMakeLists.txt

@@ -0,0 +1,44 @@
+# Examples for certifiable optimization experiments. These targets are kept
+# outside the core gtsam library so SDP prototyping does not change libgtsam.
+
+add_library(gtsam_certifiable STATIC LiftedSDPProblem.cpp LiftedSDPProblem.h)
+target_link_libraries(gtsam_certifiable PUBLIC gtsam)
+gtsam_apply_build_flags(gtsam_certifiable)
+set_property(TARGET gtsam_certifiable PROPERTY FOLDER "certifiable")
+
+if(GTSAM_BUILD_TESTS)
+  add_executable(testLiftedSDPs tests/testLiftedSDPs.cpp)
+  target_link_libraries(testLiftedSDPs CppUnitLite gtsam)
+  gtsam_apply_build_flags(testLiftedSDPs)
+  add_test(NAME testLiftedSDPs COMMAND testLiftedSDPs)
+  set_property(TARGET testLiftedSDPs PROPERTY FOLDER "tests")
+endif()
+
+if(GTSAM_USE_MOSEK)
+  target_link_libraries(gtsam_certifiable PRIVATE ${MOSEK_LIBRARIES})
+  target_include_directories(gtsam_certifiable SYSTEM PRIVATE ${MOSEK_INCLUDE_DIRS})
+
+  add_executable(Rot2RingQcqpToMonolithicSDP examples/Rot2RingQcqpToMonolithicSDP.cpp)
+  target_link_libraries(Rot2RingQcqpToMonolithicSDP gtsam_certifiable)
+  gtsam_apply_build_flags(Rot2RingQcqpToMonolithicSDP)
+  add_dependencies(examples Rot2RingQcqpToMonolithicSDP)
+  set_property(TARGET Rot2RingQcqpToMonolithicSDP PROPERTY FOLDER "examples")
+
+  if(NOT GTSAM_BUILD_EXAMPLES_ALWAYS)
+    set_target_properties(Rot2RingQcqpToMonolithicSDP PROPERTIES EXCLUDE_FROM_ALL ON)
+  endif()
+
+  add_executable(SimpleMosekSDPExample tests/testMOSEKInstall.cpp)
+  target_link_libraries(SimpleMosekSDPExample gtsam ${MOSEK_LIBRARIES})
+  target_include_directories(SimpleMosekSDPExample SYSTEM PRIVATE ${MOSEK_INCLUDE_DIRS})
+  set_target_properties(SimpleMosekSDPExample PROPERTIES
+      BUILD_RPATH "${MOSEK_LIBRARY_DIR}"
+      INSTALL_RPATH "${MOSEK_LIBRARY_DIR}")
+  gtsam_apply_build_flags(SimpleMosekSDPExample)
+  add_dependencies(examples SimpleMosekSDPExample)
+  set_property(TARGET SimpleMosekSDPExample PROPERTY FOLDER "examples")
+
+  if(NOT GTSAM_BUILD_EXAMPLES_ALWAYS)
+    set_target_properties(SimpleMosekSDPExample PROPERTIES EXCLUDE_FROM_ALL ON)
+  endif()
+endif()