The MOSEK optimization software is designed to solve large-scale mathematical optimization problems.
Problems MOSEK can solve:
Linear problems (integer constrained variables allowed).
Conic quadratic problems.
Quadratic and quadratically constrained problems (integer constrained variables allowed).
General convex nonlinear problems.
Technical highlights of MOSEK are:
For continuous problems MOSEK implements the simplex and interior-point based algorithms.
For mixed integer problems MOSEK implements a branch & bound & cut algorithm.
The MOSEK interior-point optimizer is capable of exploiting multiple processors.