CVXR using Mosek Quadratic minimization problem

[EMTRANSLATEUR355]

Hi
I'm trying to solve a Quadratic optimization problem with linear constrains using the R package CVXR. Although the default solver is able to solve the optimization, Mosek solver is not. The reason I'm looking to use Mosek is because I need to solve a bigger problem with more than 250 constrains and the default solver gives an inaccurate solution, so I'm looking to solve the bigger problem with Mosek. Here's a simple example were Mosek is not working:

suppressMessages(suppressWarnings(library(CVXR)))

Problem data

set.seed(10)
n <- 10
SAMPLES <- 100
mu <- matrix(abs(rnorm(n)), nrow = n)
Sigma <- matrix(rnorm(n^2), nrow = n, ncol = n)
Sigma <- t(Sigma) %*% Sigma

Form problem

w <- Variable(n)
ret <- t(mu) %*% w
risk <- quad_form(w, Sigma)
constraints <- list(w >= 0, sum(w) == 1,ret==mean(mu))

Risk aversion parameters

prob <- Problem(Minimize(risk), constraints)
result <- solve(prob,solver='MOSEK')

It gives the following error.

Error in py_call_impl(callable, dots$args, dots$keywords) :
TypeError: 'int' object is not iterable
10.stop(structure(list(message = "TypeError: 'int' object is not iterable",
call = py_call_impl(callable, dots$args, dots$keywords),
cppstack = structure(list(file = "", line = -1L, stack = c("1 reticulate.so 0x000000010d278f9b _ZN4Rcpp9exceptionC2EPKcb + 219",
"2 reticulate.so 0x000000010d27fa35 _ZN4Rcpp4stopERKNSt3__112basic_stringIcNS0_11char_traitsIcEENS0_9allocatorIcEEEE + 53", ...
9.mosek_intf at mosekglue.py#51
8.get_mosekglue()$mosek_intf(reticulate::r_to_py(A), b, reticulate::r_to_py(G),
h, c, dims, offset, reticulate::dict(solver_opts), verbose)
7.Solver.solve(solver, objective, constraints, object@.cached_data,
warm_start, verbose, ...)
6.Solver.solve(solver, objective, constraints, object@.cached_data,
warm_start, verbose, ...)
5.CVXR::psolve(a, b, ...)
4.CVXR::psolve(a, b, ...)
3.solve.Problem(prob, solver = "MOSEK")
2.solve(prob, solver = "MOSEK")
1.solve(prob, solver = "MOSEK")

Somebody knows how to solve it, may be re expressing the problem?

My session info is the following:

R version 3.5.2 (2018-12-20)
Platform: x86_64-apple-darwin15.6.0 (64-bit)
Running under: macOS Mojave 10.14.1

Matrix products: default
BLAS: /System/Library/Frameworks/Accelerate.framework/Versions/A/Frameworks/vecLib.framework/Versions/A/libBLAS.dylib
LAPACK: /Library/Frameworks/R.framework/Versions/3.5/Resources/lib/libRlapack.dylib

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats graphics grDevices utils datasets methods base

other attached packages:
[1] reticulate_1.10 Matrix_1.2-15 CVXR_0.99-2 e1071_1.7-0.1 rstudioapi_0.9.0
[6] openxlsx_4.1.0

loaded via a namespace (and not attached):
[1] Rcpp_1.0.0 lattice_0.20-38 class_7.3-14 gmp_0.5-13.2 R.methodsS3_1.7.1
[6] grid_3.5.2 R6_2.3.0 jsonlite_1.6 zip_1.0.0 Rmpfr_0.7-2
[11] R.oo_1.22.0 R.utils_2.7.0 tools_3.5.2 bit64_0.9-7 bit_1.1-14
[16] compiler_3.5.2 scs_1.1-1 ECOSolveR_0.4

[bnaras]

I can reproduce this problem. Will investigate.

[EMTRANSLATEUR355]

Thanks!!!

On Wed, Feb 6, 2019 at 10:13 PM Balasubramanian Narasimhan < ***@***.***> wrote: I can reproduce this problem. Will investigate. — You are receiving this because you authored the thread. Reply to this email directly, view it on GitHub <#40 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AjHcd1Yxv0xkUM4VVuE3gaFwt6RFaDNtks5vK5nCgaJpZM4ajy3U> .

-- Erick Translateur

[bnaras]

This should be fixed in CVXR-0.99-3. The issue was just an improper translation of some vectors over to python. Please check.