All Questions
Tagged with mosek optimization
6 questions
5
votes
2
answers
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
votes
1
answer
352
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 ...
- 470
3
votes
1
answer
195
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
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
5
votes
1
answer
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