在 Mosek+Cvxpy 中访问次优解

Question

We are using Mosek solver via its Cvxpy interface.

We deal with large-scale optimization problem on a regular-basis and sometimes the runtime is very high. So, we specify a upper limit on runtime using Mosek's mosek.dparam.optimizer_max_time parameter.

In those cases, the pain-point is that we get no solution.

Is it possible to get the suboptimal/best found solution so far?

Answer 1

If Mosek did not find any feasible integer solution within the time limit then there is nothing to return, so you get nothing.

If Mosek found some feasible integer solution then CVXPY should return it with solution status s.OPTIMAL_INACCURATE, judging from a quick look at the code.

So the question is what does it say in the log output and what happens at the end of the optimization when CVXPY is processing the answer from the solver.