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matlaboptimizationsdpmosek
Mengxiao Zhang
Mengxiao Zhang

Reputation: 31

How can I solve the conic optimization by mosek with hot start

I have a series of conic programming problems to solve. After solving the first one, I get one correct result. However, as the second optimization problem is really similar to the former one, I want to take advantage of the first solution to accelerate the process. After reading the documentation of mosek on Matlab, it seems that it is hard to use a warm start for conic optimization problem in mosek? I wonder if there is some way to handle this because it is really disappointing to solve a series of conic optimization problems from scratch every time. Thank you in advance!

Upvotes: 0

Views: 1418

Answers (1)

sascha
sascha

Reputation: 33532

I'm pretty sure, that all conic-problems are solved by the/one of the IPM-methods in Mosek.

IPMs are known for a somewhat problematic warm-start theory (and some papers on the topic from a few years ago still said: no gain compared to re-solving).

In your case, there is probably only one thing to take from the docs here:

Currently, the interior-point optimizer in MOSEKcannot take advantage of a previous optimal solution, however, the simplex optimizer can exploit any basic solution.

(We don't know your problem and needs, but the open-source solver SCS, which also has many wrappers, can use warm-starts. It's not an IPM-method (ADMM), might be faster in general (and can use GPU), but also might be less accurate).

Upvotes: 0

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