mtanneau / Mosek.jl

Interface to the Mosek solver in Julia

Mosek.jl

Interface to the Mosek solver in Julia.

Mosek.jl is a more or less complete mapping of the MOSEK functionality:

• Most MOSEK C API functions are available
• Callbacks for information retrival and log output during optimization
• Interface for the MOSEK general convex solver
• Implementation of the LinprogSolver interface and other interfaces for JuMP (https://github.com/JuliaOpt/JuMP.jl)

MOSEK can solve LP (linear), SOCP (second order conic), SDP (semi-definite), QP (quadratic objective, quadratic constraints), and MIP (mixed-integer problems). These can be mixed as follows:

• LP+CONIC+SDP
• LP+CONIC+MIP

MOSEK is commercial software, but free licenses are available for academic use. See here for details.

Installation

Use the Julia package manager to install Mosek.jl:

Pkg.add("Mosek")

The Mosek.jl package requires the MOSEK distribution binaries run. Upon installation it will attempt to either local an installed MOSEK or download and install from the MOSEK website (www.mosek.com):

1. If the environment variable MOSEKBINDIR is defined, the installer will assume that this directory contains the necessary libraries. If it does not, the installer will fail.
2. If the current MOSEK.jl installation uses a user-defined MOSEK and this is a valid version, this will be used.
3. If MOSEK is installed in the default location in the users HOME directory, and this installation has the correct version, this will be used.
4. If no usable MOSEK installation is found here, the installer will attempt to download and unpack the latest distro. In this case doing Pkg.build("Mosek") will update the MOSEK distro if possible.`

If the MOSEK distro installation directory is moved it is necessary to rebuild the package using

Pkg.build("Mosek")

If you have previously installed Mosek.jl using a pre-installed MOSEK distro, setting the MOSEKJL_FORCE_DOWNLOAD=YES will force the installer to download MOSEK from the web instead of using the old version.

Note that environment variables can be set temporarily from Julia as

ENV["MOSEKBINDIR"] = "/home/myname/lib"

Furthermore, a license file is required to use MOSEK (these are free for academic use). MOSEK will look first for the enironment variable MOSEKLM_LICENSE_FILE which, if defined, must point to the relevant license file. If this is not defined, MOSEK will look for a file called mosek.lic in the default install path, e.g.

$HOME/mosek/mosek.lic

Updating the Mosek library

If the MOSEK distro was installed manually, it can be updated simply by installing a newer distro in the same place. Otherwise, doing Pkg.build("Mosek") will check the latest MOSEK distro and update if possible.

You can see if the MOSEK distro was installed internally this way:

is_internal = open(joinpath(Pkg.dir("Mosek"),"deps","inst_method"),"r") do f readstring(f) == "internal" end

When installation does not work

If you experience problems installing (in particular on Windows or OS X), you can try to pull the latest revision and see if that works

Pkg.checkout("Mosek","master")
Pkg.build("Mosek")

If this also fails, please post an issue in Github.

Documentation

All functions and constants in the Mosek.jl are briefly documented in docs strings, and an HTML reference can be built using Documenter.jl.

For a more complete description of functions, please refer to the MOSEK C API documentation.

MathProgBase interface

The MathProgBase for MOSEK is a separate package called MathProgBaseMosek.

MathOptInterface

The MathOptInterface for MOSEK is a separate package called MathOptInterfaceMosek.