OsiMosek is a conic solver interface for Mosek solver. OsiMosek implements OsiConic interface, which extends Open Solver Interface (OSI) to second order conic optimization problems.
OsiMosek depends on CoinUtils, OSI and OsiConic. OsiMosek extends COIN-OR's linear Mosek interface OsiMsk.
OsiMosek is used by DisCO to solve mixed integer conic optimization problems.
Following code snippet reads problem from an MPS file (an extended MPS format for second order cone problems) and solves it using Mosek.
// Solves conic problems, reads them in mosek mps input format
// usage: ./cont_solver input.mps
#include <OsiMosekSolverInterface.hpp>
int main(int argc, char ** argv) {
OsiConicSolverInterface * solver = new OsiMosekSolverInterface();
solver->readMps(argv[1]);
solver->initialSolve();
delete solver;
return 0;
}Currently only Mosek style MPS files are supported. You can find the complete example in the examples directory.
OsiMosek is tested/works in Linux environment only for now. To install OsiMosek you need to have a Mosek solver with a valid license installed in your computer. You should compile OSI with Mosek first. You can do this with the following command.
./configure --prefix=build_dir --with-mosek-incdir=/mosek_dir/h --with-mosek-lib="-L/mosek_dir/bin -lmosek64 -lmosekxx7_1 -lmosekjava7_1 -lmosekscopt7_1 -liomp5"
make installFirst command configures Osi with Mosek. You need to replace build_dir
for the directory that you want to install OSI. You need to replace
mosek_dir with your mosek installation directory. This command assumes
you are using Mosek 7.1. You need to update related words for a different Mosek
version. Second command install OSI to build_dir. Please see
Osi documentation for details.
You need to configure CoinUtils and OsiConic the same way using the same build_dir.
Once Osi and other dependencies are installed you can install OsiMosek with the following command
./configure --prefix=build_dir && make installOsiMosek configure script will find dependencies as long as you use same
build_dir that you used during configuration of them.
If you already have the dependencies somewhere else in your computer and you do
not want to install them again, you are covered. First you need to make sure
that dependencies can be found with package config (pkgconfig
command). For this you need to add the directory that has .pc files of
dependencies to your PKG_CONFIG_PATH. You can test whether the
dependencies are accesible with pkg-config with the following command,
pkg-config --cflags --libs osi-mosek.
Once the dependencies are accessible through pkg-config you can install
OsiMosek by using regular configure, make and make install
sequence. Configure script will find the dependencies through pkg-config and
link OsiMosek to them.