We created this package to support the experiments given in the paper by Schmelzer, Hauser, Dahl and Andersen.

A first glimpse of the notebooks we provide is given here: http://nbviewer.jupyter.org/github/tschm/MosekRegression/tree/master/books/

For reproducing our results in exactly the environment we have used clone the underlying repository

git clone [email protected]:tschm/MosekRegression.git

and build the pymosek docker container with

docker-compose build pymosek

Docker will download all the required dependencies. Start the container with

docker-compose run -d -p 2016:9999 pymosek

If you have a valid Mosek license you may want to edit the Dockerfile and adjust the definition of the environment variable in there.

You can solve various (un)constrained regression and Markowitz problems.