MOSEK


MOSEK is a software package for the solution of linear, mixed-integer linear, quadratic, mixed-integer quadratic, quadratically constraint, conic and convex nonlinear mathematical optimization problems. The emphasis in MOSEK is on solving large scale sparse problems, particularly the interior-point optimizer for linear, conic quadratic and semi-definite. The software is particularly very efficient solving the latter set of problems.
A special feature of the MOSEK interior-point optimizer is that it is based on the so-called homogeneous model. This implies that MOSEK can reliably detect a primal and/or dual infeasible status as documented in several published papers.
The software is developed by Mosek ApS, a Danish company established in 1997 by Erling D. Andersen. It has its office located in Copenhagen, the capital of Denmark.
In addition to the interior-point optimizer MOSEK includes:
In version 9, Mosek introduced support for exponential and power cones in its solver. The software also provides interfaces to the C, C#, Java and Python languages. Most major modeling systems are made compatible with MOSEK, examples are: AMPL, and GAMS.
MOSEK can also be used from popular tools such as MATLAB and the R programming language / software environment. With the latter, an outdated version of package Rmosek is available from the CRAN server, the up-to-date version is provided by Mosek ApS), CVX, and YALMIP.