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Mosek

Interface to the Mosek solver in Julia

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Mosek.jl

Interface to the Mosek solver in Julia.

Mosek.jl is a more or less complete mapping of the MOSEK functionality:

  • Most MOSEK C API functions are available
  • Callbacks for information retrival and log output during optimization
  • Interface for the MOSEK general convex solver
  • Implementation of the LinprogSolver interface and other interfaces for JuMP (https://github.com/JuliaOpt/JuMP.jl)

MOSEK can solve LP (linear), SOCP (second order conic), SDP (semi-definite), QP (quadratic objective, quadratic constraints), GECO (general convex) and MIP (mixed-integer problems). These can be mixed as follows:

  • LP+SOCP+SDP
  • LP+SOCP+MIP
  • LP+QP+MIP
  • LP+QP+GECO

MOSEK is commercial software, but free licenses are available for academic use. See here for details.

Installation

Use the Julia package manager to install Mosek.jl:

Pkg.add("Mosek")

When installing, the installer will look for the MOSEK library in following places:

  • First, if the environment variable MOSEKBINDIR is defined, it will look for the MOSEK library in the directory it points to. I.e. it must point the the bin/ directory in the MOSEK distro.
  • If MOSEKBINDIR is undefined or it points to an invalid directory, the installer will look for the MOSEK distribution in the user's home directory. This usually resolves to:
    • OS X: /Users/username
    • Linux: /home/username
    • Windows: C:\Users\username
  • If no usable MOSEK installation is found here, the installer will attempt to download and unpack the latest distro. In this case doing Pkg.build("Mosek") will update the MOSEK distro if possible. If the MOSEK distro installation directory is moved it is necessary to rebuild the package using html Pkg.build("Mosek") `

Furthermore, to run an optimization a license is required (these are free for academic use). MOSEK will look first for the enironment variable MOSEKLM_LICENSE_FILE which, if defined, must point to the relevant license file. If this is not defined, MOSEK will look for a file called mosek.lic in the default install path, e.g.

$HOME/mosek/mosek.lic

Updating the Mosek library

If the MOSEK distro was installed manually, it can be updated simply by installing a newer distro in the same place. Otherwise, doing Pkg.build("Mosek") will check the latest MOSEK distro and update if possible.

You can see if the MOSEK distro was installed internally this way:

is_internal = open(joinpath(Pkg.dir("Mosek"),"deps","inst_method"),"r") do f readstring(f) == "internal" end

When installation does not work

If you experience problems installing (in particular on Windows or OS X), you can try to pull the latest revision and see if that works

Pkg.checkout("Mosek","master")
Pkg.build("Mosek")

If this also fails, please post an issue in Github.

Documentation

All functions and constants in the Mosek.jl are briefly documented here.

For a more complete description of functions, please refer to the MOSEK C API documentation.

The General Convex interface is not documented at all, but the example nlo1.jl show the general idea.

MathProgBase interface

Mosek implements the solver-independent MathProgBase interface, that allows it to works solver in e.g. JuMP.

The solver object is called MosekSolver. Parameters are accepted and mirror the names in the Mosek documentation but the MSK_[IDS]PAR prefix is optional.

For example, you can suppress output by either saying MosekSolver(MSK_IPAR_LOG=0) or MosekSolver(LOG=0), where LOG corresponds to the MSK_IPAR_LOG parameter in the API. When the prefix is excluded the type of the parameter is inferred by the provided value.

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First Commit

10/08/2013

Last Touched

2 months ago

Commits

363 commits

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