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.

MOSEK version 7.0.0.85

MOSEK version 7.0.0.85 is now available for download. Yhe new version includes important performance enhancements and bug fixes. The major changes are

• Improved the dense column detection.
• Improved the presolve to handle a numerical bad case related to doubleton equations better.
• Fixed a bug that made Java, .NET and Python optimizer APIs which caused a crash in special cases.
• Fixed a bug in the put solution slice functions that occurred if no solution was previously defined.
• Employ a newer version of the Intel C compiler tool chain.
• Special characters are now allowed in license paths on Windows.
• Fixed a bug that made the interior-point optimizer crash in certain extremely rare cases.
• Updated the toolbox manual.

2013 INFORMS Annual Conference

MOSEK will be present at the INFORMS Annual conference to be held at the Minneapolis Conference center from the October the 6th and to the October 9th.

The following MOSEK employees

• Erling D. Andersen (CEO) 
• Joachim Dahl (senior developer) 
• Ulf Worsøe (senior developer) 

will be present at the conference and is available for discussion about MOSEK and optimization in general.

Several MOSEK specific events have been organized at the conference:

• Vendor workshop: MOSEK: A Software Package for Large-Scale Linear and Conic Optimization. Saturday Oct. 5, 12-2:30. 
• Software demonstration: Erling D. Andersen,On Using MOSEK to Solve Large-Scale Linear and Conic Optimization Problems, Sunday Oct. 6, 13.30. 
• Talk: Erling D. Andersen, Tour de MOSEK 7: The short version, Sunday Oct., 17:00. 
• Booth. MOSEK has booth number #3 in the exhibition hall. Make sure you stop by the booth to pick up a free copy of the MOSEK modeling manual. 

MOSEK version 7.0.0.81

MOSEK version 7.0.0.81 is now available for download. The major changes are:

• Updated the toolbox manual.
• Fixed a bug that made the mixed integer conic optimizer crash in rare cases when applied to a quadratic optimization problem.
• Updated the portfolio optimization example in the Fusion manual.
• Fixed a bug that cased a crash on Windows 32 bit when solving certain semidefinite optimization problems.
• Fixed a bug that made MOSEK crash when writing problems having symmetric matrix variables to a file.
• Fixed some issues in linprog and bintprog in the toolbox. In particular the undocumented call linprog('defaults') is supported. It is also supported for quadprog and bintprog too.
• Fixed issue causing incorrect infeasibility violations to be reported in certain cases.
• Fixed an installation issue on MAC OSX.
• Updated the fusion documentation.
• Fixed an issue in the quadratic optimizer.
• Fixed an issue that in rare cases caused an crash in the interior-point optimizer.
• Fixed an issue in the nonlinear optimizer that in rare cases caused a crash.
• Improved the conic mixed integer optimizer for conic problems.
• Fixed several issues in Fusion.
• Fixed an issue in the linear dependency checker.
• Fixed an issue in the conic optimizer that made it report a wrong dual solution in rare cases.

MOSEK version 7.0.0.75

MOSEK version 7.0.075 is now available for download. The major bug fixes are:

• Fixed several bugs in the conic optimizer that made it terminate prematurely in some cases.
• Fixed several bugs in Fusion. One could cause it to crash.
• Fixed a bug in the function removevars.
• Fixed a rarely occurring bug in the presolve.
• Bug fixes and cosmetic changes to Fusion.
• Fixed a bug in the conic optimizer that in rare cases generated an assert.
• Added missing Fusion examples to the distribution.

MOSEK version 7.0.0.68

MOSEK version 7.0.0.68 is now available for download at the MOSEK website. The following issues

• The examples for MATLAB Fusion has been added to distribution.
• When writing LP files a lot debug output was produced.
• Fixed a bug in the conic optimizer hurting the performance.
• Fixed some issues in the nonlinear function interface.
• Fixed a bug that affected the exitflag from linprog and friends in the optimization toolbox for MATLAB.
• Fixed bug that made Fusion feed the wrong variables name into the optimizer.

have been resolved since the last release.