The MOSEK Python optimizer API manual Version 7.0 (Revision 141)

8.1. PORTFOLIO OPTIMIZATION 117
172 stddev = zeros(1,float)
173 task.getxxslice(mosek.soltype.itr,offsets+0,offsets+1,stddev)
174
175 print("\nExpected return %e for gamma %e\n" % (expret,stddev[0]))
The example code above produces the result
Interior-point solution summary
Problem status : PRIMAL AND DUAL FEASIBLE
Solution status : OPTIMAL
Primal. obj: 7.4390660228e-002 Viol. con: 2e-007 var: 0e+000 cones: 1e-009
Dual. obj: 7.4390669047e-002 Viol. con: 1e-008 var: 1e-008 cones: 0e+000
Expected return 7.439066e-02 for gamma 5.000000e-02
If the problem is dumped to an OPF formatted file, then it has the following content.
[comment]
Written by MOSEK version 7.0.0.86
Date 01-10-13
Time 07:47:34
[/comment]
[hints]
[hint NUMVAR] 34 [/hint]
[hint NUMCON] 28 [/hint]
[hint NUMANZ] 60 [/hint]
[hint NUMQNZ] 0 [/hint]
[hint NUMCONE] 7 [/hint]
[/hints]
[variables disallow new variables]
’x[1]’ ’x[2]’ ’x[3]’ s ’t[1]’
’t[2]’ ’t[3]’ ’c[1]’ ’c[2]’ ’c[3]’
’v[1]’ ’v[2]’ ’v[3]’ ’z[1]’ ’z[2]’
’z[3]’ ’f[1,1]’ ’f[1,2]’ ’f[1,3]’ ’f[2,1]’
’f[2,2]’ ’f[2,3]’ ’f[3,1]’ ’f[3,2]’ ’f[3,3]’
’g[1,1]’ ’g[1,2]’ ’g[1,3]’ ’g[2,1]’ ’g[2,2]’
’g[2,3]’ ’g[3,1]’ ’g[3,2]’ ’g[3,3]’
[/variables]
[objective maximize]
1.073e-001 ’x[1]’ + 7.37e-002 ’x[2]’ + 6.270000000000001e-002 ’x[3]’
[/objective]
[constraints]
[con ’budget’] ’x[1]’ + ’x[2]’ + ’x[3]’ + 1e-002 ’c[1]’ + 1e-002 ’c[2]’
+ 1e-002 ’c[3]’ = 1e+000 [/con]
[con ’GT[1]’] 1.667e-001 ’x[1]’ + 2.32e-002 ’x[2]’ + 1.3e-003 ’x[3]’ - ’t[1]’ = 0e+000 [/con]
[con ’GT[2]’] 1.033e-001 ’x[2]’ - 2.2e-003 ’x[3]’ - ’t[2]’ = 0e+000 [/con]
[con ’GT[3]’] 3.38e-002 ’x[3]’ - ’t[3]’ = 0e+000 [/con]
[con ’zabs1[1]’] 0e+000