Questions tagged [mosek]
The mosek tag has no usage guidance.
10
questions
5
votes
2
answers
387
views
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
votes
1
answer
242
views
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
5
votes
2
answers
979
views
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 ...
- 3,970
6
votes
1
answer
246
views
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 ...
- 460
12
votes
5
answers
1k
views
Dividing machines into groups of equal sizes so that each group has approximately same productivity
I have set of machines with varying productivity.
I want put the machines in different groups so that the groups have approximately equal productivity.
Lets say, we have $M$ machines.
and we want to ...
- 2,211
3
votes
1
answer
161
views
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
3
votes
1
answer
223
views
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
160
views
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
votes
0
answers
131
views
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 ...
- 3,970
5
votes
1
answer
203
views
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}{...
- 3,970