MOSEK

MOSEK is a software package for the solution of linear, mixed-integer linear, quadratic, mixed-integer quadratic, quadratically constraint, conic and convex nonlinear mathematical optimization problems. The emphasis in MOSEK is on solving large scale sparse problems. Particularly the interior-point optimizer for linear, conic quadratic (a.k.a. Second-order cone programming) and semi-definite (aka. semidefinite programming) problems is very efficient. A special feature of the MOSEK interior-point optimizer is that it is based on the so-called homogeneous model which implies MOSEK can reliably detect a primal and/or dual infeasible status as documented in several published papers.

In addition to the interior-point optimizer MOSEK includes:

MOSEK provides interfaces to the C, C#, Java and Python languages. Most major modeling systems are made compatible for MOSEK, examples are: AMPL, and GAMS. MOSEK can also be used from popular tools such as matlab, R, CVX, and YALMIP.