MOSEK modeling manual

A new manual about how to model optimization problems is now available at docs.mosek.com. It provides many tips and tricks about how to formulate optimization problems so they can be solved by MOSEK.

MOSEK version 6.0.0.147

MOSEK version 6.0.0.147 is available for download at the MOSEK website.

The most important changes are:

• Fixed a bug that made the optimizer ignore the parameter MSK_DPAR_TOL_LIN_DEP.
• Updated Flexlm to resolve an issue with locating the right network interface.
• Fixed a bug in the function getname functions affecting the .NET, Java and Python interfaces.
• Fixed a bug in the function MSK_removecone.
• Fixed a bug that made conic mixed integer optimizer ignoring an initial feasible solution.
• Fixed a bug in the network simplex optimizer.
• Fixed a number of bugs in the mixed integer optimizer.
• Fixed a bug in MSK_putcone.
• Fixed a bug in the AMPL interface.

AMPL book is freely available.

The AMPL book is now freely available for on-line browsing and download.

MOSEK at ISMP 2012

MOSEK will be present at the conference ISMP 2012 in Berlin from August 19th to 24th. Feel free to contact the MOSEK representatives at the conference or contact MOSEK sales to setup a meeting during the ISMP conference if you want to discuss MOSEK with us.

Please see the MOSEK presentation page for details about the MOSEK related presentations at ISMP.

MOSEK version 6.0.0.141

MOSEK version 6.0.0.141 is available for download at the MOSEK website.

The most important changes are:

• Fixed a number of bugs in the mixed integer optimizer.
• Fixed a bug in MSK_putcone.
• Removed support for conic optimization in the AMPL interface. Due to the internal workings of AMPL the the implemented method did not work reliably.
• Fixed a bug in the AMPL interface.

MOSEK version 6.0.0.137

MOSEK version 6.0.0.137 is available for download at the MOSEK website.

The most important changes are:

• Fixed a bug that caused MOSEK not to check the maximum amount time used when using the mixed integer optimizer.
• Fixed a bug in the dual simplex optimizer.

Office is closed the 5th, 6th and 8th of April 2012

Due to Easter vacation the office is closed the 5th, 6th and 8th of April 2012.

Portfolio optimization whitepaper in MATLAB, R and Python

We revised our whitepaper on portfolio optimization.

The whitepaper gives an introduction to portfolio optimization using the MOSEK conic optimizer from MATLAB, R and Python and includes topics such as:

• Conic formulations of standard Markowitz portfolio problems.
• Minimum risk/maximum return formulations.
• Computing the efficient frontier.
• Computing the maximum Sharpe ratio.
• Exploiting low-rank structure in the covariance matrix to reduce solution time, including factor models.
• Transaction costs with market impact, modeled as a conic quadratic problem.
• Transactions costs with a fixed term, modeled as a conic mixed-integer problem. 

Historical data from the S&P500 index is used in all examples.

The Markowitz portfolio optimization whitepaper and data can be downloaded from the MOSEK publications page.

Server licenses are now available

Until now all licenses MOSEK has sold have been floating licenses. For most of our customers this has been a very convenient type of license but not for all. Therefore, as of the 5th March of 2012 a server license is also available. A server license corresponds to having an unlimited number of licenses available on a prespecified computer/server. Please see our price list for details or contact MOSEK sales.

MOSEK version 6.0.0.135

MOSEK version 6.0.0.135 is available for download at the MOSEK website.

The most important new feature in this release is support for conic quadratic optimization (aka. SOCP) in the AMPL interface. Hence, it is now possible to specify conic quadratic constraints directly in AMPL using a MOSEK specific suffix named cone. Please see the AMPL documentation for details.

The other major changes are:

• Fixed a number of bugs in the mixed integer optimizer.
• Fixed some bugs in the AMPL interface. 
• Fixed a bug occurring under special circumstances in the interior-point optimizer when multiple threads are employed.
• Fixed a bug in the dual simplex optimizer.

DrugMatrix now employs MOSEK

DrugMatrix, an on-line tool by the US Department of Health and Human Services, now employs MOSEK  to compute the database of scorable genomic signatures.

Feature update in the R to MOSEK interface

A new version of the Rmosek package is available. The new features are:

• support for separable convex optimization,
• new methods to formulate quadratic programs on conic quadratic form,
• and a simplified installation process.

Furthermore, a change in input format regarding bounds and cones have been made to decrease the time it takes to construct large problems. Please see the NEWS file for details.

MOSEK is leadership sponsor of ISMP 2012

MOSEK is sponsoring the 21st International Symposium on Mathematical Programming that will take place in Berlin, Germany, August 19-24, 2012. MOSEK will also present at the conference. More about that later.