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I have a QP that I solve with MOSEK and CVX. The solutions are quite bad, and I get the sense that either Mosek is not trying hard, or CVX is not transmitting information properly to Mosek, or something of that sort.

What are my options to make MOSEK run as hard as it can to solve the QP with the CVX interface? This is all in Matlab.

kloop
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  • Usually the best option is to change no settings. In particular never try ``cvx_precision best`` or something like that. I ensure you both Mosek and CVX will then be trying as hard as they can. In most cases these are numerical issues due to poor data scaling. Posting log output here and explaining in much more detail what the issue exactly is would also be a good idea. Finally dumping your problem to a file and sending to Mosek support might shed some light on it. – Michal Adamaszek Jul 07 '22 at 19:00
  • Also https://docs.mosek.com/latest/toolbox/debugging-log.html and https://docs.mosek.com/latest/toolbox/debugging-numerical.html – Michal Adamaszek Jul 07 '22 at 19:02

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