The MOSEK command line tool Version 7.0 (Revision 141)

Chapter 13
The MPS file format
MOSEK supports the standard MPS format with some extensions. For a detailed description of the
MPS format see the book by Nazareth [15].
13.1 MPS file structure
The version of the MPS format supported by MOSEK allows specification of an optimization problem
on the form
where
l c ≤ Ax + q(x) ≤ u c ,
l x ≤ x ≤ u x ,
x ∈ C,
x J integer,
(13.1)
• x ∈ R n is the vector of decision variables.
• A ∈ R m×n is the constraint matrix.
• l c ∈ R m is the lower limit on the activity for the constraints.
• u c ∈ R m is the upper limit on the activity for the constraints.
• l x ∈ R n is the lower limit on the activity for the variables.
• u x ∈ R n is the upper limit on the activity for the variables.
• q : R n → R is a vector of quadratic functions. Hence,
where it is assumed that
q i (x) = 1/2x T Q i x
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