The MOSEK command line tool Version 7.0 (Revision 141)

Chapter 14
The LP file format
MOSEK supports the LP file format with some extensions i.e.
formatted files.
MOSEK can read and write LP
Please note that the LP format is not a completely well-defined standard and hence different optimization
packages may interpret the same LP file in slightly different ways. MOSEK tries to emulate as
closely as possible CPLEX’s behavior, but tries to stay backward compatible.
The LP file format can specify problems on the form
minimize/maximize
c T x + 1 2 qo (x)
where
subject to l c ≤ Ax + 1 2 q(x) ≤ uc ,
l x ≤ x ≤ u x ,
x J integer,
• x ∈ R n is the vector of decision variables.
• c ∈ R n is the linear term in the objective.
• q o :∈ R n → R is the quadratic term in the objective where
and it is assumed that
q o (x) = x T Q o x
Q o = (Q o ) T .
• A ∈ R m×n is the constraint matrix.
• l c ∈ R m is the lower limit on the activity for the constraints.
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