Clarabel Solver Examples

1.1. Objective function

The Clarabel solver’s default configuration expects problem data in the form \(\frac{1}{2}x^\top P x + q^\top x\).
We therefore define the objective function data as

\[ P = 2 \cdot \begin{bmatrix} 3 & 0 \\ 0 & 2\end{bmatrix} \mbox{ and } q = \begin{bmatrix} -1 \\ -4\end{bmatrix}. \]

1.2. Constraints

The solver’s default configuration expects constraints in the form \(Ax + s = b\), where \(s \in \mathcal{K}\) for some composite cone \(\mathcal{K}\). We have 1 equality constraint and 4 inequalities, so we require the first element of \(s\) to be zero (i.e. the first constraint will correspond to the equality) and all other elements \(s_i \ge 0\). Our cone constraint on \(s\) is therefore

\[ s \in \mathcal K = \{0\}^1 \times \mathbb{R}^4_{\ge 0}. \]

Define the constraint data as

\[ A = \begin{bmatrix} 1 & -2 \\ 1 & 0 \\ 0 & 1 \\ -1 & 0 \\ 0 & -1\end{bmatrix} \mbox{ and } b=\begin{bmatrix} 0 \\ 1 \\ 1 \\ 1 \\ 1 \end{bmatrix}. \]

Note that Clarabel expects inputs in Compressed Sparse Column (CSC) format for both \(P\) and \(A\) and will try to convert them if not so.

1.3. Solution

P <- Matrix::Matrix(2 * c(3, 0, 0, 2), nrow = 2, ncol = 2, sparse = TRUE)
P <- as(P, "symmetricMatrix")  # P needs to be a symmetric matrix
q <- c(-1, -4)
A <- Matrix::Matrix(c(1, 1, 0, -1, 0, -2, 0, 1, 0, -1), ncol = 2, sparse = TRUE)
b <- c(0, 1, 1, 1, 1)
cones <- c(z = 1L, l = 4L)  ## 1 equality and 4 inequalities, in order
s <- clarabel(A = A, b = b, q = q, P = P, cones = cones)
cat(sprintf("Solution status, description: = (%d, %s)\n",
            s$status, solver_status_descriptions()[s$status]))
#> Solution status, description: = (2, Solver terminated with a solution.)
cat(sprintf("Solution: (x1, x2) = (%f, %f)\n", s$x[1], s$x[2]))
#> Solution: (x1, x2) = (0.428571, 0.214286)

2. Basic SOCP Example

We want to solve the following 2-dimensional optimization problem:

\[ \begin{array}{ll} \text{minimize} & x_2^2\\[2ex] \text{subject to} & \left\|\begin{pmatrix} 2x_1 \\ x_2 \end{pmatrix} - \begin{pmatrix} 2 \\ 2 \end{pmatrix}\right\|_2 \le 1 \end{array} \]

2.1. Objective function

The Clarabel solver’s default configuration expects problem data in the form \(\frac{1}{2}x^\top P x + q^\top x\).
We therefore define the objective function data as

\[ P = 2 \cdot \begin{bmatrix} 0 & 0 \\ 0 & 1\end{bmatrix} \mbox{ and } q = \begin{bmatrix} 0 \\ 0\end{bmatrix}. \]

2.2. Constraints

The solver’s default configuration expects constraints in the form \(Ax + s = b\), where \(s \in \mathcal{K}\) for some composite cone \(\mathcal{K}\). We have a single constraint on the 2-norm of a vector, so we rewrite

\[ \left\|\begin{pmatrix} 2x_1 \\ x_2 \end{pmatrix} - \begin{pmatrix} 2 \\ 2 \end{pmatrix}\right\|_2 \le 1 \quad \Longleftrightarrow \quad \begin{pmatrix} 1 \\ 2x_1 - 2\\ x_2 - 2 \end{pmatrix} \in \mathcal{K}_{SOC} \] which puts our constraint in the form \(b - Ax \in \mathcal{K}_{SOC}\).

2.3. Solution

P <- Matrix::Matrix(2 * c(0, 0, 0, 1), nrow = 2, ncol = 2, sparse = TRUE)
P <- as(P, "symmetricMatrix") # P needs to be a symmetric matrix
q <- c(0, 0)
A <- Matrix::Matrix(c(0, -2.0, 0, 0, 0, 1.0), nrow = 3, ncol = 2, sparse = TRUE)
b <- c(1, -2, -2)
cones <- c(q = 3L)
s <- clarabel(A = A, b = b, q = q, P = P, cones = cones)
cat(sprintf("Solution status, description: = (%d, %s)\n",
            s$status, solver_status_descriptions()[s$status]))
#> Solution status, description: = (2, Solver terminated with a solution.)
cat(sprintf("Solution (x1, x2) = (%f, %f)\n", s$x[1], s$x[2]))
#> Solution (x1, x2) = (1.000000, -1.000000)