G.9 MOSEK – High-performance LP and QP Solvers
MOSEK is a collection of optimization tools that includes high-performance solvers for
large-scale linear programming (LP) and quadratic programming (QP) problems, among
others. More information is available at https://www.mosek.com/.
Although MOSEK is a commercial package, at the time of this writing there is a free
academic license available. See https://www.mosek.com/products/academic-licenses/
for more details.
When the Matlab interface to MOSEK is installed, the MOSEK LP and QP solvers
can be used to solve DC OPF problems by setting the opf.dc.solver option equal to
'MOSEK'. The solution algorithm for LP problems can be controlled by Matpower’s
mosek.lp_alg option. See Table C-16 for other MOSEK-related Matpower options. A
“MOSEK user options” function can also be speciﬁed via mosek.opt_fname to override the
defaults for any of the many MOSEK parameters. For details see help mosek_options and
the “Parameters” reference in “The MOSEK optimization toolbox for MATLAB manual”
at http://docs.mosek.com/7.1/toolbox/Parameters.html. You may also ﬁnd it helpful
to use the symbolic constants deﬁned by mosek_symbcon.
It can also be used to solve general LP and QP problems via Matpower’s common
QP solver interface qps_matpower, or MILP and MIQP problems via miqps_matpower, with
the algorithm option set to 'MOSEK' (or 600 for backward compatibility), or by calling
qps_mosek or miqps_mosek directly.