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Total Posts: 22
Joined: Jan 2013
Posted: 2015-09-24 08:58

We are contemplating buying MOSEK for portfolio optimisation. We are trading systematic equity strategies and would need SOCP.

What are people using on NP?
MOSEK and Gurobi are names that come back often. Would you rather one against the other? Any other software we should consider?

btw, the following is useful if anybody else is looking for an optimiser:



Total Posts: 112
Joined: Jul 2013
Posted: 2015-09-24 19:06
Ilog cplex is very good, especially for mixed integer stuff... expensive though

"amicus Plato sed magis amica Veritas"


Total Posts: 293
Joined: Mar 2010
Posted: 2015-09-26 01:01
We've been doing a review recently and decided on Gurobi after a review of a few weeks. Our main interface would be R so that and support were our primary concern.

I wasn't involved in the trials but the focus was on nonlinear systems of equations and semidefinite programming.


Total Posts: 22
Joined: Jan 2013
Posted: 2015-09-28 08:10

This is interesting.


Total Posts: 390
Joined: Aug 2007
Posted: 2015-09-28 20:55
I've found mosek to be great for convex opt however often time off the shelf software ends up being a huge constraining factor and you end up having to write stuff on your own.

"Mathematicians are machines for turning coffee into theorems!"


Total Posts: 357
Joined: Nov 2006
Posted: 2016-10-27 01:33
COmputational INfrastructure for Operations Research (COIN) has a huge list of open-source projects.

In MATLAB, I usually use MATLAB's Optimization Toolbox and also CVX.

In Python, I have used CVXOPT for general convex optimization and PuLP for linear programming (including integer programming).

These are OK for prototyping and for relatively small problems.


Total Posts: 22
Joined: Jan 2013
Posted: 2016-10-27 02:56
Thanks for the links.

We went with Mosek in the end and we are quite happy with is so far.

I found CVXOPT very slow and I don't remember it being able to solve SOCP problems. As you say it is ok for small problems.


Total Posts: 357
Joined: Nov 2006
Posted: 2016-10-27 18:45

There's also Lobo & Vandenberghe & Boyd's SOCP: an "implementation of a primal-dual potential reduction method for solving second-order cone programming problems. Package includes C implementation, Matlab interface functions, documentation and examples."

It's old stuff, back from 1995. It's also academic software, which is usually atrociously documented. Yet, it's free.

More recent software would be the Embedded Conic Solver (ECOS), "a numerical software package for computing solutions to (or certifying infeasibility of) of conic optimization problems".


Total Posts: 22
Joined: Jan 2013
Posted: 2016-10-27 22:38

ECOS was very slow when I tried it.
I will give Lobo & Vandenberghe & Boyd's a try.
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