MOSEK Rmosek package 12.0.1(BETA)

This manual describes the features of the MOSEK interface in R.

Contents:

• 1 Introduction
  • 1.1 Why the Rmosek package?
• 2 Contact Information
• 3 License Agreement
  • 3.1 MOSEK end-user license agreement
  • 3.2 Third party licenses
• 4 Installation
  • 4.1 System requirements
  • 4.2 Installation
  • 4.3 Testing the Installation
• 5 Design Overview
  • 5.1 Modeling
  • 5.2 “Hello World!” in MOSEK
• 6 Optimization Tutorials
  • 6.1 Linear Optimization
  • 6.2 From Linear to Conic Optimization
  • 6.3 Conic Quadratic Optimization
  • 6.4 Power Cone Optimization
  • 6.5 Conic Exponential Optimization
  • 6.6 Geometric Programming
  • 6.7 Semidefinite Optimization
  • 6.8 Integer Optimization
  • 6.9 Quadratic Optimization
  • 6.10 Problem Modification and Reoptimization
  • 6.11 Retrieving infeasibility certificates
• 7 Solver Interaction Tutorials
  • 7.1 Accessing the solution
  • 7.2 Errors and exceptions
  • 7.3 Input/Output
  • 7.4 Setting solver parameters
  • 7.5 Retrieving information items
  • 7.6 MOSEK OptServer
• 8 Debugging Tutorials
  • 8.1 Understanding optimizer log
  • 8.2 Addressing numerical issues
  • 8.3 Debugging infeasibility
  • 8.4 Python Console
• 9 Technical guidelines
  • 9.1 Timing
  • 9.2 Multithreading
  • 9.3 Parallel optimization using the Multicore package
  • 9.4 The license system
• 10 Case Studies
  • 10.1 Portfolio Optimization
  • 10.2 Least Squares and Other Norm Minimization Problems
  • 10.3 Logistic regression
• 11 Problem Formulation and Solutions
  • 11.1 Linear Optimization
  • 11.2 Conic Optimization
  • 11.3 Semidefinite Optimization
  • 11.4 Quadratic and Quadratically Constrained Optimization
• 12 Optimizers
  • 12.1 Presolve
  • 12.2 Linear Interior-point optimizer
  • 12.3 The Simplex optimizers
  • 12.4 Conic Interior-point optimizer
  • 12.5 The Mixed-Integer optimizer
  • 12.6 Basis Identification
• 13 Rmosek API Reference
  • 13.1 Command Reference
  • 13.2 Parameters grouped by topic
  • 13.3 Parameters (alphabetical list sorted by type)
  • 13.4 Response codes
  • 13.5 Enumerations
  • 13.6 Supported domains
  • 13.7 Environment variables
• 14 Supported File Formats
  • 14.1 The LP File Format
  • 14.2 The MPS File Format
  • 14.3 The OPF Format
  • 14.4 The CBF Format
  • 14.5 The PTF Format
  • 14.6 The Task Format
  • 14.7 The JSON Format
  • 14.8 The Solution File Format
• 15 List of examples
• 16 Interface changes
  • 16.1 New features in version 12.0 compared to 11
  • 16.2 Important changes compared to version 11
  • 16.3 Changes compared to version 11
• 17 Bibliography