10 Technical guidelines¶
This section contains some more in-depth technical guidelines for Optimization Toolbox for MATLAB, not strictly necessary for basic use of MOSEK.
10.1 Integration with MATLAB¶
mosekopt MEX file
The central part of Optimization Toolbox for MATLAB is the
mosekopt MEX file. It provides an interface to MOSEK that is employed by all the other functions provided in the toolbox. Therefore, we recommend to
mosekopt function if possible because that give rise to the least overhead and provides the maximum of features.
Compatibility with the MATLAB Optimization Toolbox
For compatibility with the MATLAB Optimization Toolbox, MOSEK provides the following functions:
linprog: Solves linear optimization problems.
intlinprog: Solves a linear optimization problem with integer constrained variables.
quadprog: Solves quadratic optimization problems.
lsqlin: Minimizes a least-squares objective with linear constraints.
lsqnonneg: Minimizes a least-squares objective with nonnegativity constraints.
mskoptimget: Getting an
optionsstructure for MATLAB compatible functions.
mskoptimset: Setting up an
optionsstructure for MATLAB compatible functions.
These functions are described in detail in Sec. 15.2 (Command Reference). The functions
mskoptimset are not fully compatible with the MATLAB counterparts,
optimset, so the MOSEK versions should only be used in conjunction with the MOSEK implementations of
linprog, etc., and similarly
optimget should be used in conjunction with the MATLAB implementations.
Caveats using the MATLAB compiler
When using MOSEK with the MATLAB compiler it is necessary manually:
copy the MEX file to the directory with MATLAB binary files and
mosekopt.mfile back after compilation.
All elements of an optimization problem in MOSEK (objective, constraints, variables, etc.) can be given names. Assigning meaningful names to variables and constraints makes it much easier to understand and debug optimization problems dumped to a file. On the other hand, note that assigning names can substantially increase setup time, so it should be avoided in time-critical applications.
Note that file formats impose various restrictions on names, so not all names can be written verbatim to each type of file. If at least one name cannot be written to a given format then generic names and substitutions of offending characters will be used when saving to a file, resulting in a transformation of all names in the problem. See Sec. 16 (Supported File Formats).
The interior-point and mixed-integer optimizers in MOSEK are parallelized. By default MOSEK will automatically select the number of threads. However, the maximum number of threads allowed can be changed by setting the parameter
MSK_IPAR_NUM_THREADS and related parameters. This should never exceed the number of cores. See Sec. 13 (Optimizers) and Sec. 13.4 (The Optimizer for Mixed-integer Problems) for more details.
The speed-up obtained when using multiple threads is highly problem and hardware dependent. We recommend experimenting with various thread numbers to determine the optimal settings. For small problems using multiple threads may be counter-productive because of the associated overhead.
By default the optimizer is run-to-run deterministic, which means that it will return the same answer each time it is run on the same machine with the same input, the same parameter settings (including number of threads) and no time limits.
Setting the number of threads
The number of threads the optimizer uses can be changed with the parameter
For conic problems (when the conic optimizer is used) the value set at the first optimization will remain fixed through the lifetime of the process. The thread pool will be reserved once for all and subsequent changes to
MSK_IPAR_NUM_THREADS will have no effect. The only possibility at that point is to switch between multi-threaded and single-threaded interior-point optimization using the parameter
The MATLAB Parallel Computing Toolbox
Running MOSEK with the MATLAB Parallel Computing Toolbox requires multiple MOSEK licenses, since each thread runs a separate instance of the MOSEK optimizer. Each thread thus requires a MOSEK license.
10.4 The license system¶
MOSEK is a commercial product that always needs a valid license to work. MOSEK uses a third party license manager to implement license checking. The number of license tokens provided determines the number of optimizations that can be run simultaneously.
By default a license token remains checked out from the first optimization until the end of the MOSEK session, i.e.
a license token is checked out when any MOSEK function involving optimization, as for instance
mosekopt, is called the first time and
it is returned when MATLAB is terminated.
Starting the optimization when no license tokens are available will result in an error.
Default behaviour of the license system can be changed in several ways:
Setting the parameter
MSK_IPAR_LICENSE_WAITwill force MOSEK to wait until a license token becomes available instead of returning with an error.
All licenses currently checked out and not in use can be released on demand using the