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.