Friday, October 9, 2020

CVXPY 1.1.6

The latest release 1.1.6 of CVXPY includes a completely rewritten MOSEK interface. It will, in particular, reformulate conic and linear problems in a different way than until now before passing it to the solver, so you may experience different behavior, especially in numerically challenging cases.

Here is roughly what you should expect. If you are modeling:

  • a mixed-integer problem: no change.
  • a sparse LMI: the new version should be much more efficient, both in terms of CVXPY modeling and solution time (the problem is dualized before calling MOSEK).
  • all other linear and conic problems: the problem will be dualized before calling the solver. Ideally you should see no difference or perhaps an improvement, but it can go either way, especially if the dualized version is more challenging for any reason. In many cases MOSEK will internally choose the correct form to solve. In the remaining cases it may be necessary to explicitly force the solver to dualize.

    If you were already tuning some MOSEK parameters then you should reevaluate the settings. In case you were already forcing primal/dual form with iparam.intpnt_solve_form then most likely you should change to the opposite.

    Finally, if you are studying the solver log output, keep in mind that it is operating with the dual of your CVXPY formulation (DUAL_INFEASIBLE means your problem is primal infeasible, minimization becomes maximization etc.). 

See also a note in CVXPY docs.