mosekadmin

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mosekadmin

from mosek.fusion import *
import numpy as np 
import sys

n = int(sys.argv[1])
M = Model()
x = M.variable("x", [n,n], Domain.binary())
M.objective(ObjectiveSense.Maximize, Expr.sum(x))
M.constraint(Expr.sum(x, 0), Domain.lessThan(1))
M.constraint(Expr.sum(x, 1), Domain.lessThan(1))

mosekadmin

from mosek.fusion import *
import numpy as np 

M = Model()

x = M.variable(6)
groups = [ [0,1,2], [3], [4,5] ]

# Some data
bounds       = [ 1.0, 2.0, 3.0 ]

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# Membership matrix 
Mi = [0, 0, 0, 1, 2, 2]    # Rows, Group number for entries of x
Mj = [0, 1, 2, 3, 4, 5]    # Columns
Mv = [1.0] * 6             # Values
Memb = Matrix.sparse(3, 6, Mi, Mj, Mv)

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# Bounded sums
M.constraint( Expr.mul(Memb, x), Domain.lessThan(bounds) )

# Volatility bound
M.constraint( Expr.vstack(gamma, 
                          Expr.mul(G, Expr.sub( Expr.mul(Memb, x), ind_weights))), 
             Domain.inQCone() )

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z = M.variable(3, Domain.binary())    # Indicates sign for each group
bigM = 100                            

# All items in one group have the same sign
zMatch = Expr.mul(Memb.transpose(), z)
M.constraint( Expr.sub(x, Expr.mul(bigM, zMatch)), Domain.lessThan(0) )
M.constraint( Expr.sub(Expr.mul(-bigM, Expr.sub(1, zMatch)), x), Domain.lessThan(0) )

mosekadmin

import mosek.fusion.*;

c = [ 3.0, 1.0, 5.0, 1.0 ];

A = [ 3.0, 1.0, 2.0, 0.0 ; ...
      2.0, 1.0, 3.0, 1.0 ; ...
      0.0, 2.0, 0.0, 3.0 ];

b = [ 2.0, 5.0, 3.0 ];

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x.index(0), x.index(1), x.index(2), x.index(3)

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x = M.variable('x', 4, Domain.greaterThan(0.0));

mosekadmin

javaaddpath mosek/9.0/tools/platform/linux64x86/bin/mosek.jar