MOSEK version 7.0.0.90

MOSEK version 7.0.0.90 is now available for download. The major bug fixes are

• Fixed a bug on the OSX platform that caused problems when using the optimization toolbox for MATLAB. 
• Fixed a bug in the mixed integer optimizer. 
• Fixed a bug on the OSX platform that caused problems loading the MOSEK shared object. 
• Fixed a bug that triggered an assert for certain semidefinite problems. 
• Improved the documentation.

Investigating the data of a semidefinite optimization problem

In the MOSEK optimizer API it is not possible to dump a semidefinite optimization problem to a text file unfortunately. However, it is possible to dump the problem to a task file and then viewing the barA matrix using the following Python script.

import sys

import mosek

env = mosek.Env()
task = env.Task(0,0)

task.readdata(sys.argv[1])

num  = task.getnumbarablocktriplets()
subi = num*[0]
subj = num*[0]
subl = num*[0]
subk = num*[0]
valijkl = num*[0.0]
num = task.getbarablocktriplet(subi,subj,subk,subl,valijkl)
for k in range(0,num):
    print('%d %d %d %d %e\n' % (subi[k],subj[k],subk[k],subl[k],valijkl[k])),

If the above Python code is saved to a file called listbara.py and then it is possible to do

python listbara.py myfile.task

Note the function getbarablocktriplet() is available in all optimizer APIs.

Regression techniques for Portfolio Optimisation using MOSEK

A new paper with the title: "Regression techniques for Portfolio Optimisation using MOSEK" has been published. The paper illustrates how to use MOSEK for real-world portfolio optimization problems.