Questions tagged [mosek]
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14 questions
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Mixed integer optimization: what if X has to be a rounded multiple of a fixed value? [duplicate]
I am working on a Mosek project. The utility function is to maximize
u^{t} x
where x is a vector of N
There is a tricky constraint: the first 3 items of X must be ...
- 489
0
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1
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177
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Minimal example using MOSEK API in python
I want to solve (simplified version)
\begin{equation*}
\begin{aligned}
& \underset{}{\text{find}} & & X\in\mathbb{S}^{n}_{+}, x \in \mathbb{R}^{m}, \nu \in \mathbb{R}, \lambda\...
- 101
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vote
1
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52
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Why is there a separate area for PSD constraints and PSD variables in the Conic Benchmark Format?
This question pertains to the Conic Benchmark Format (CBF) for specifying a convex optimization problem. Here's a link to the specification.
In the CBF specification, there are separate areas for ...
- 730
2
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1
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497
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MOSEK via fusion vs API vs CVXPY
In Python, I would like to solve a collection of problems, that are all solvable via MOSEK's conic optimization solvers (ExpCone, SOCP, etc.)
I have tried CVXPY. I get very robust and reliable results,...
- 4,030
5
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2
answers
544
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Simple OLS problem can only be solved in SCS. Is the dual infeasible?
Essentially, I am trying to solve a simple orthogonal least-squares (OLS) problem with some constraints — the coefficients must sum to $1$, no coefficient can be less than $0$, and no coefficient can ...
6
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1
answer
267
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Is it possible to express these constraints with basic cones?
I have the following optimization problem:
\begin{align}\min&\quad x\\
\text{s.t.}&\quad x=\max_{i} \{x_{i}\}\\
&\quad x_{i}y_{i}=z_{i}\\
&\quad x_{i}, y_{i}, z_{i}\geqslant0
\end{...
- 61
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2
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1k
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Julia JuMP successive optimization
I am using Julia's JuMP package to solve a cutting-plane method. Namely, I solve a sub-problem, find the most-violated constraint in the master problem, add that to ...
- 4,030
6
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1
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352
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Compute Scaling factor(s) for linear constraint ($A@x<b$)
We optimize large-scale optimization problems with tens of thousands of variables and constraints with Cvxpy + Commercial solvers (e.g. Gurobi, Mosek).
The coefficient range easily exceeds the ...
- 470
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5
answers
2k
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Dividing machines into groups of equal sizes so that each group has approximately same productivity
I have a set of machines with varying productivity.
I want put the machines in different groups so that the groups have approximately equal productivity.
Let's say we have $M$ machines and we want to ...
- 2,397
3
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1
answer
195
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Mosek Fusion APIs
Does anyone know if there is a list of available function APIs for Mosek Fusion APIs? Namely, what functions are available, their arguments list and meaning, what they do. Something similar to UNIX ...
- 129
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1
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252
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Are short-sell allowed in conic formulation of Markowitz optimization?
Sorry to ask a question about the basic Markowitz portfolio optimization. The example is from Mosek's example book.
The basic Markowitz portfolio optimization is formulated as:
The book mentioned we ...
- 129
1
vote
1
answer
204
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Questions on Mosek Fusion Power Cone example
Just trying to understand the example given in Mosek Fusion handbook as shown
I'm not exactly sure how to convert 7.3 to 7.4 in terms of objective function. I understand the power cone $P_{3}^{0.2, 0....
- 129
6
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0
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147
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Cases where RLT/SDP relaxation does not work well with standard quadratic optimization
(For people who don't know what RLT is): I am maximizing an indefinite quadratic function over a standard simplex, i.e., the standard quadratic optimization problem. A well-known approach is to relax ...
- 4,030
5
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1
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233
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Which solver solves PSD constrained convex non-linear problem
I have a problem with a vector variable $w \in \mathbb{R}^n$ and a symmetric matrix variable $V \in \mathbb{R^{n \times n}}$. I am solving a problem which is roughly like:
\begin{align}
\begin{array}{...
- 4,030