SNOPT.jl: Julia interface to the SNOPT solver

SNOPT.jl is an unofficial Julia interface to SNOPT, a commercial solver for large, sparse, constrained nonlinear optimization problems. The package wraps all three SNOPT solver interfaces, snOptA, snOptB and snOptC, and so gives access to the SNOPT features, including linear constraints, finite-difference derivatives, warm and hot starts, and specs files. For most problems, the function snopt is the simplest entry point: it takes the objective, the constraints and their first derivatives as ordinary Julia functions, manages the SNOPT workspace, and returns the solution in a SnoptResult.

SNOPT.jl solves problems of the form

\[\begin{aligned} \min_{x \in \mathbb{R}^n} \quad & f(x) \\ \text{subject to} \quad & l_x \le x \le u_x, \\ & l_c \le c(x) \le u_c, \end{aligned}\]

where $f$ is the objective, $c$ is a vector of constraint functions, and the bounds can be infinite. SNOPT uses a sequential quadratic programming (SQP) method, so $f$ and $c$ must be smooth, and their first derivatives must be supplied.

When to use SNOPT.jl

SNOPT.jl is the right choice for calling SNOPT directly with derivatives written by hand. Use OptimizationSNOPT.jl instead to define the problem with Optimization.jl, compute derivatives with automatic differentiation, or compare SNOPT with other solvers through one interface. OptimizationSNOPT.jl uses SNOPT.jl internally.

Installation

Install the package with the Julia package manager:

using Pkg
Pkg.add("SNOPT")

Then, before starting Julia, set SNOPTDIR to the directory of the SNOPT library:

export SNOPTDIR=/path/to/snopt/lib

Installation gives the library file names, the search order, the commands for Windows and the setup checks.

Contents

Tutorial and installation

The tutorial solves a first problem with bounds and nonlinear constraints. The installation page makes the SNOPT library available to Julia.

• Getting started
• • Solve a problem with bounds
  • Read the result
  • Add nonlinear constraints
  • Rules for the callback functions
  • Next steps
• Installation
• • Requirements
  • Install the package
  • Make the library available
  • Check the setup
  • Platform support
  • Troubleshooting

How-to guides

Each guide shows how to do one task with SNOPT.jl.

• Set solver options
• • Pass options to snopt
  • Frequently used options
  • Write the SNOPT log to a file
  • Read options from a specs file
• Monitor and stop a solve
• • Print progress
  • Stop on a custom condition
  • Observe each function evaluation
• Warm and hot starts
• • Warm start with snopt
  • Hot start
• Low-level interface
• • Workspace
  • Options
  • SnoptA: finite differences, linear rows and hot starts
  • SnoptB: separate objective and constraint functions
  • SnoptC: one function for objective and constraints
  • Callback builders

Concepts and reference

The concepts page explains the SNOPT terms and status codes. The API reference lists every exported function and type.

• Solver concepts
• • Major and minor iterations
  • Slack variables
  • Basis, superbasic variables and warm starts
  • Infinite bounds
  • Status codes
  • One SNOPT workspace per Julia process
  • Limits
• High-level API
• • Solve a problem
  • Status
  • Library setup
• Monitoring API
• Low-level API
• • Workspace and options
  • Problem types
  • Solve functions
  • Callback builders

Contributing

• Report bugs and request features on the issue tracker.
• Before opening a pull request, run the test suite with julia --project=. -e 'using Pkg; Pkg.test()' from the repository root. The solver tests run only when Julia finds a licensed libsnopt7.
• To build this manual, run julia --project=docs -e 'using Pkg; Pkg.instantiate()' and then SNOPT_DOCS_DEPLOY=false julia --project=docs docs/make.jl from the repository root. The build runs the examples when it finds the SNOPT library; SNOPT_DOCTESTS=false skips them. The pages are written to docs/build/.

Acknowledgements

SNOPT was written by Philip E. Gill, Walter Murray and Michael A. Saunders. SNOPT.jl draws on earlier Julia wrappers: snopt/SNOPT7.jl, byuflowlab/Snopt.jl and Yuricst/joptimise.