I’m pretty new in Julia and I am interested in using Mosek with JuMP.
I have been using Mosek with CVX and Yalmip in Matlab, but ran into some issues with speed.
Is there any comparison with these solvers in terms of performance of JuMP?
Furthermore, compared to using the Mosek API in, say C++, how does JUMP perform?
Is there any comparison with these solvers in terms of performance of JuMP?
The answer is almost certainly “it depends.” What does “issues with speed” mean? Is it the time to build the problem? Or to solve the problem? Did you profile which parts were taking the most time?
As a note of clarity, neither JuMP, YALMIP, nor CVX are solvers. They are a modeling language which converts your problem into a form that Mosek (the solver) can solve.
compared to using the Mosek API in, say C++, how does JuMP perform?
The C++ API will likely be faster.