Remote optimization with OptServer(Light)

Together with the recently released MOSEK 10.1 we introduced OptServerLight - a light version of a remote optimization server. Let us take this opportunity to write a few words about remote optimization in MOSEK and introduce the two variants of the OptServer.

In a typical scenario the user sets up an optimization problem in MOSEK (through an API, or by reading a file), solves it, and retrieves the solution. All steps are executed in one process, on the same machine. Under remote optimization the user still sets up the problem locally (in the client), but the optimization itself (the call to MSK_optimize(), optimize(), solve() or similar) is being executed on a remote machine (server), before the user can again retrieve the solution in the local process on the client. In practice the client submits the problem data to the server via HTTP/HTTPS, the server calls its own instance of MOSEK to solve the problem, and transmits the solution back to the client in response.

From the client's point of view the process is completely transparent. All it takes is to instruct MOSEK to contact the remote server instead of optimizing locally. Everything else - setting up the problem, retrieving the solution, printing log output - remain unchanged. Here is an illustration in Python Fusion:

The client code is the same for local and remote optimization, except for the one line which introduces the address of the remote OptServer. This code will, in fact, work, because the URL points to an existing OptServer which we made available online and which can solve small problems for demonstration purposes. See https://solve.mosek.com for more information and downloadable code samples.

Why/when use the remote OptServer?

• One centralized computational server where all heavy computations are offloaded by clients.
• The problems are too big/time consuming for weak client machines.
• No need for the clients to have the MOSEK license, only the server requires a license.
• Solving problems produced by a different source than a MOSEK client.
• Load and user access control.

We provide two flavors of the OptServer:

• OptServerLight - a minimalistic binary. Shipped in the distribution, started directly from command line with minimal or no configuration, works out-of-the-box, available for all platforms. Keeps no state, works in-memory, suitable as a simple solver service in container pipelines. Very basic load balancing and configuration are available. Recommended as a starting point and probably sufficient for a majority of applications. See the brief startup notes.
• The full OptServer. In addition to the solver service provides a user API, job history, authentication, API tokens, various levels of permissions, administrator/user accounts, statistics, web interface and more. Requires a more elaborate setup, including configuring a database. See the demo docker image for a stand-alone container and installation instructions.