Convex.jl - Convex Optimization in Julia

Convex.jl is a Julia package for Disciplined Convex Programming (DCP). Convex.jl makes it easy to describe optimization problems in a natural, mathematical syntax, and to solve those problems using a variety of different (commercial and open-source) solvers. Convex.jl can solve

• linear programs
• mixed-integer linear programs and mixed-integer second-order cone programs
• dcp-compliant convex programs including
  • second-order cone programs (SOCP)
  • exponential cone programs
  • semidefinite programs (SDP)

Convex.jl supports many solvers, including Mosek, Gurobi, ECOS, SCS and GLPK, through MathOptInterface.

Note that Convex.jl was previously called CVX.jl. This package is under active development; we welcome bug reports and feature requests. For usage questions, please contact us via the Julia Discourse.