PENLAB: A MATLAB solver for nonlinear semidefinite optimization

TL;DR

PENLAB is an open source MATLAB software for solving nonlinear, linear, and semidefinite optimization problems, designed for research, teaching, and testing new algorithms.

Contribution

It introduces PENLAB, an open source MATLAB solver that extends capabilities of PENNON, enabling algorithm modification and practical problem solving.

Findings

Supports various optimization problem classes

Open source and modifiable for research and teaching

Practical use demonstrated on real problems

Abstract

PENLAB is an open source software package for nonlinear optimization, linear and nonlinear semidefinite optimization and any combination of these. It is written entirely in MATLAB. PENLAB is a young brother of our code PENNON \cite{pennon} and of a new implementation from NAG \cite{naglib}: it can solve the same classes of problems and uses the same algorithm. Unlike PENNON, PENLAB is open source and allows the user not only to solve problems but to modify various parts of the algorithm. As such, PENLAB is particularly suitable for teaching and research purposes and for testing new algorithmic ideas. In this article, after a brief presentation of the underlying algorithm, we focus on practical use of the solver, both for general problem classes and for specific practical problems.