Mosek package includes interfaces for C/C++, Java, Python, MATLAB, and .NET. An R interface is available at R-forge. It comes has a set of precompiled libraries and executables with no additional dependencies. To start using MOSEK you just need few steps:
- Download and install MOSEK.
- Obtain a full featured trial license.
- Read the Documentation
- Start Optimizing!
Below you can find some getting started guides for common application areas.
MOSEK is employed extensively in the financial industry to solve optimization problems arsing in connection with Markowitz portfolio optimization and related problems. MOSEK is well known in the financial industry for its state-of-the-art optimizers for quadratic and conic problems. Portfolio optimization models are most conviniently implemented using the Fusion API. Fusion is an object orientated API available Java, .NET, MATLAB and Python. Please see the extensive portfolio optimization examples in Fusion below for details.
- Portfolio example in C++
- Portfolio example in Java
- Portfolio example in MATLAB
- Portfolio example in .NET
- Portfolio example in Python
An alternative to Fusion API is the optimizer API. The optimizer API is an extremely efficient matrix oriented API. However, typically building a model using the optimizer API rather the Fusion API is a more time-consuming and error-prone process. See the following optimizer API examples for details.
- Portfolio examples in Java
- Portfolio examples in C
- Portfolio examples in .NET
- Portfolio examples in Python
MOSEK is typically more cost effective than canned software packages aimed at portfolio optimization and provide more flexibility. Several publications related to using MOSEK for financial applications are available:
- Markowitz portfolio optimization using MOSEK.
- Regression techniques for Portfolio Optimisation using MOSEK. Illustrates the usage of MOSEK for real-world portfolio optimization problems.
- A note on formulating quadratic functions. In some cases, simple tricks can lead to a reduction in solution time by a factor of 10 or more.
MOSEK is popular choice in forestry due to its powerful and reasonable priced linear optimizer. Particularly, many customers of Remsoft Woodstock software have chosen MOSEK as their optimization solution. If you want to use MOSEK together with Woodstock, then we suggest you obtain MOSEK trough Remsoft. Otherwise we suggest you follow the normal trial procedure.