Add Knitro interface to CVXPY for Quadratic Problems and Conic Problems (#1)

* Add KNITRO solver to the list of available solvers

* Add KNITRO QP and Conic solver interfaces

* Add KNITRO citation to the citation dictionary

* Add KNITRO QP and Conic solver interface implementation

* Add KNITRO to doc

* Add KNITRO to ci for optional solvers

Author: eminyouskn

.github/workflows/build.yml

@@ -55,6 +55,7 @@ jobs:
           echo "PYTHON_SUBVERSION=$(echo $PYTHON_VERSION | cut -c 3-)" >> $GITHUB_ENV
           echo $MOSEK_CI_BASE64 | base64 -d > mosek.lic
           echo "MOSEKLM_LICENSE_FILE=$( [[ $RUNNER_OS == 'macOS' ]] && echo $(pwd)/mosek.lic || echo $(realpath mosek.lic) )" >> $GITHUB_ENV
+
       - uses: conda-incubator/setup-miniconda@v3
         with:
           auto-update-conda: true

.github/workflows/test_optional_solvers.yml

@@ -1,12 +1,13 @@
 name: test_optional_solvers
 
 on:
-    pull_request:
-    push:
-        branches:
-            - master
-        tags:
-          - '*'
+  pull_request:
+  push:
+    branches:
+      - master
+    tags:
+      - '*'
+
 jobs:
   test_optional_solvers:
     runs-on: ${{ matrix.os }}
@@ -24,6 +25,8 @@ jobs:
           echo "PYTHON_SUBVERSION=$(echo $PYTHON_VERSION | cut -c 3-)" >> $GITHUB_ENV
           echo $MOSEK_CI_BASE64 | base64 -d > mosek.lic
           echo "MOSEKLM_LICENSE_FILE=$( [[ $RUNNER_OS == 'macOS' ]] && echo $(pwd)/mosek.lic || echo $(realpath mosek.lic) )" >> $GITHUB_ENV
+          echo "$KNITRO_CI" > ~/artelys_lic.txt
+
       - uses: actions/setup-python@v5
         with:
           python-version: 3.12
@@ -46,4 +49,5 @@ jobs:
 
     env:
       RUNNER_OS: ${{ matrix.os }}
-      PYTHON_VERSION: 3.12
+      PYTHON_VERSION: 3.12
+      KNITRO_CI: ${{ secrets.KNITRO_CI }}

continuous_integration/install_optional_solvers.sh

@@ -43,5 +43,11 @@ fi
 
 # Only install Mosek if license is available (secret is not copied to forks)
 if [[ -n "$MOSEK_CI_BASE64" ]]; then
-    python -m pip install mosek
+  python -m pip install mosek
+fi
+
+# Only install KNITRO if license is available (secret is not copied to forks)
+# KNITRO on macOS is only available for arch64
+if [[ -n "$KNITRO_CI" ]] && ! ([[ "$RUNNER_OS" == "macOS" ]] && [[ $(uname -m) != "aarch64" ]]); then
+  python -m pip install knitro
 fi

cvxpy/__init__.py

@@ -102,6 +102,7 @@
     USER_LIMIT as USER_LIMIT,
     XPRESS as XPRESS,
     HIGHS as HIGHS,
+    KNITRO as KNITRO,
     get_num_threads as get_num_threads,
     set_num_threads as set_num_threads,
 )

cvxpy/reductions/solvers/conic_solvers/__init__.py

@@ -34,4 +34,5 @@
 from .scs_conif import SCS
 from .sdpa_conif import SDPA
 from .xpress_conif import XPRESS
-from .highs_conif import HIGHS
+from .highs_conif import HIGHS
+from .knitro_conif import KNITRO