How can I make changes in cvx solver setting for Mosek?

(Dipak Narayanan) #1

I have a MILP program. I am employing Mosek to solve it. CVX was outputting the status of the progress. Below is the output from CVX.

Calling Mosek 8.0.0.60: 85211 variables, 63569 equality constraints

MOSEK Version 8.0.0.60 (Build date: 2017-3-1 13:09:33)
Copyright © MOSEK ApS, Denmark. WWW: mosek.com
Platform: Windows/64-X86

Problem
Name :
Objective sense : min
Type : LO (linear optimization problem)
Constraints : 63569
Cones : 0
Scalar variables : 85211
Matrix variables : 0
Integer variables : 832

Optimizer started.
Mixed integer optimizer started.
Threads used: 4
Presolve started.
Presolve terminated. Time = 1.17
Presolved problem: 21633 variables, 63240 constraints, 182232 non-zeros
Presolved problem: 0 general integer, 832 binary, 20801 continuous
Clique table size: 896
BRANCHES RELAXS ACT_NDS DEPTH BEST_INT_OBJ BEST_RELAX_OBJ REL_GAP(%) TIME
0 1 0 0 NA -2.4906080800e+000 NA 3.9
0 1 0 0 0.0000000000e+000 -2.4906080800e+000 2.49e+012 4.0
0 1 0 0 -6.3117357752e-001 -2.4906080800e+000 294.60 42.6
Cut generation started.
0 2 0 0 -6.3117357752e-001 -2.4906080800e+000 294.60 42.7
Cut generation terminated. Time = 0.63

then 45 minutes passed, no progress is dictated…

So, how can I relax some of the solver parameters? For example, for Gurobi, I can use

“cvx_solver_settings( ‘MIPGapAbs’, 1e-1,‘MIPGap’,1e-1,‘NumericFocus’,3)”

How about for Mosek?

(Mark L. Stone) #2

Do the same, but using Mosek parameters https://docs.mosek.com/9.0/toolbox/parameters.html#doc-all-parameter-list .

Note that if you install the latest Mosek 9.0 version (currently 9.0.105) and change the name of the mosek directory under the CVX diectory, then you can get CVX to use Mosek 9 rather than the mosek 8.0.0.60 which comes with the CVX installation. Altenratvvely, look at the output of cvx_solvers to get the full name of the CVX 9.0 version you want to use and specify that full name using cvx_solver.

Setting tolerances for mosek in CVX