Is there a way to set a max running time, or maximum number of cuts, when solving an integer problem with mosek? Or at least a way to stop a running optimization? It seems when the solver is running, the only way to stop it is shutting down matlab?
Mosek has lots of parameters, incl. time limits etc.:
https://docs.mosek.com/8.1/toolbox/parameters.html
And in the second FAQ question it shows how to set them from CVX:
1 Like
@Michal_Adamaszek nicely answered your question about changing Mosek parameters prior to Mosek being called by CVX.
As for terminating Mosek while it is in the middle of solving a problem provided by CVX, it seems that ctrl-C is generally effective in quickly halting Mosek and returning control to the MATLAB command line, at least under Windows, and I suspect under other operating systems as well. I have to defer to someone else whether situations ever occur in which Mosek is in the middle of something and non-responsive to ctrl-C. There are some mex optimizers under MATLAB which are non-responsive to ctrl-C, for which killing the MATLAB session may be the only way of stopping execution.
He did indeed. I didn’t reply ‘thanks’ because apparently that’s too short a post for this forum. I did ‘like’ it though 
On my system (windows 10 with matlab 2016b), crtl-c does not stop mosek, at least not during my integer problem. I get something like this instead:
941 940 856 7 -8.0331941223e+003 -1.1848245370e+004 47.49 55.4
1064 1063 979 8 -8.0331941223e+003 -1.1837168401e+004 47.35 61.0
1186 1185 1097 11 -8.0331941223e+003 -1.1811499176e+004 47.03 66.6
1308 1307 1219 42 -8.0331941223e+003 -1.1811499176e+004 47.03 72.2
1431 1430 1320 8 -8.0331941223e+003 -1.1808082791e+004 46.99 77.7
1552 1551 1431 8 -8.0331941223e+003 -1.1806416583e+004 46.97 83.5
1672 1671 1541 26 -8.0331941223e+003 -1.1800970040e+004 46.90 89.0
Operation terminated by user during cvx_mosek
In cvx_mosek
In cvx_run_solver (line 50)
[ varargout{1:nargout} ] = sfunc( inputs{:} );
In cvx_mosek
In cvxprob/solve (line 429)
[ x, status, tprec, iters ] = shim.solve( At, b, c, cones, quiet, prec,
solv.settings, eargs{:} );
In cvx_end (line 88)
solve( prob );
1793 1792 1648 56 -8.0331941223e+003 -1.1800970040e+004 46.90 94.8
1914 1913 1763 11 -8.0331941223e+003 -1.1800970040e+004 46.90 101.7
(it acknowledges ctrl-c, but then continues)