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I do have code in mpmath that does the main part of what i do, except soling a semidefinite programming in arbitrary precision.

For that, i might be able to use SDPA-GMP, a C++ piece of software that solves a SDP in arbitrary precision using GMP as base arbitrary precision library.

Do you know if there are possibilities to call this from python ? On the over hand, is there somewhere a converter that passed from mpmath objcts to gmp ?

lrnv
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You might have found a solution but here is one: you can use the interface PICOS, save the problem with the extension 'dat-s' and then feed that to SDPA-GMP. This works perfectly and it's rather easy to use.

Plussoyeur
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  • Yeah I did found one: Switch to Julia, which handles far better multiprecision arithmetics. – lrnv Jan 29 '21 at 18:01
  • Ok nice. Both works the same I guess. Did you use SDPA-GMP in the end? – Plussoyeur Jan 29 '21 at 19:13
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    I did not. Julia has a very deep understanding of a number, and a good implementation for BigFloats (arbitrary precision arithmetics), and therefore standard implementation of QP solvers in Julia works natively with them. So I did not use SDPA-GMP finally. – lrnv Jan 31 '21 at 00:08
  • Take a look at https://github.com/oxfordcontrol/COSMO.jl – lrnv Jan 31 '21 at 16:56