The MOSEK command line tool Version 7.0 (Revision 141)
The MOSEK command line tool. Version 7.0 ... - Documentation The MOSEK command line tool. Version 7.0 ... - Documentation
32 CHAPTER 4. PROBLEM FORMULATION AND SOLUTIONS
Chapter 5 The optimizers for continuous problems The most essential part of MOSEK is the optimizers. Each optimizer is designed to solve a particular class of problems i.e. linear, conic, or general nonlinear problems. The purpose of the present chapter is to discuss which optimizers are available for the continuous problem classes and how the performance of an optimizer can be tuned, if needed. This chapter deals with the optimizers for continuous problems with no integer variables. 5.1 How an optimizer works When the optimizer is called, it roughly performs the following steps: Presolve: Dualizer: Scaling: Preprocessing to reduce the size of the problem. Choosing whether to solve the primal or the dual form of the problem. Scaling the problem for better numerical stability. Optimize: Solve the problem using selected method. The first three preprocessing steps are transparent to the user, but useful to know about for tuning purposes. In general, the purpose of the preprocessing steps is to make the actual optimization more efficient and robust. 33
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Chapter 5<br />
<strong>The</strong> optimizers for continuous<br />
problems<br />
<strong>The</strong> most essential part of <strong>MOSEK</strong> is the optimizers. Each optimizer is designed to solve a particular<br />
class of problems i.e. <strong>line</strong>ar, conic, or general non<strong>line</strong>ar problems. <strong>The</strong> purpose of the present chapter<br />
is to discuss which optimizers are available for the continuous problem classes and how the performance<br />
of an optimizer can be tuned, if needed.<br />
This chapter deals with the optimizers for continuous problems with no integer variables.<br />
5.1 How an optimizer works<br />
When the optimizer is called, it roughly performs the following steps:<br />
Presolve:<br />
Dualizer:<br />
Scaling:<br />
Preprocessing to reduce the size of the problem.<br />
Choosing whether to solve the primal or the dual form of the problem.<br />
Scaling the problem for better numerical stability.<br />
Optimize:<br />
Solve the problem using selected method.<br />
<strong>The</strong> first three preprocessing steps are transparent to the user, but useful to know about for tuning<br />
purposes. In general, the purpose of the preprocessing steps is to make the actual optimization more<br />
efficient and robust.<br />
33