I will use MOSEK to run a mixed integer problem. I would like to save the intermediate solutions as the optimization is going on (between the cvx_begin and cvx_end lines). Is this possible? Thanks…
I do not believe so, no. This would be a solver-specific functionality if it were true.
Also see the answer by MOSEK CEO and chief scientist Erling Andersen at Plotting and Saving of all values on each iteration .
It is possible if you use our lower level optimizer API. I mean you can get the integer feasible solutions.
The post Mark refer to is about continuous problems.