8.4 Setting solver parameters

MOSEK comes with a large number of parameters that allows the user to tune the behavior of the optimizer. The typical settings which can be changed with solver parameters include:

  • choice of the optimizer for linear problems,
  • choice of primal/dual solver,
  • turning presolve on/off,
  • turning heuristics in the mixed-integer optimizer on/off,
  • level of multi-threading,
  • feasibility tolerances,
  • solver termination criteria,
  • behaviour of the license manager,

and more. All parameters have default settings which will be suitable for most typical users.

The API reference contains:

Setting parameters

Each parameter is identified by a unique string name and it can accept either integers, floating point values or symbolic strings. Parameters are set using the method Model.setSolverParam. Fusion will try to convert the given argument to the exact expected type, and will raise an exception if that fails.

Some parameters accept only symbolic strings from a fixed set of values. The set of accepted values for every parameter is provided in the API reference.

For example, the following piece of code sets up parameters which choose and tune the interior point optimizer before solving a problem.

Listing 11 Parameter setting example. Click here to download.
  // Set log level (integer parameter)
  M->setSolverParam("log", 1);
  // Select interior-point optimizer... (parameter with symbolic string values)
  M->setSolverParam("optimizer", "intpnt");
  // ... without basis identification (parameter with symbolic string values)
  M->setSolverParam("intpntBasis", "never");
  // Set relative gap tolerance (double parameter)
  M->setSolverParam("intpntCoTolRelGap", 1.0e-7);

  // The same in a different way
  M->setSolverParam("intpntCoTolRelGap", "1.0e-7");

  // Incorrect value
  try {
      M->setSolverParam("intpntCoTolRelGap", -1);
  }
  catch (mosek::fusion::ParameterError) {
      std::cout << "Wrong parameter value\n";
  }