Hi there,
I do assume you are talking about the CVXOPT (and CVXMOD) Python package(s).
Please note that CVXOPT only contains _interfaces_ to the solvers in MOSEK,
because these are commercial products (as Roger Koenker already has mentioned).
There appear to be some Python/Scipy-based solvers
Recently, a package for convex optimization was announced for Python,
based upon the LP solver GLPK, the SDP solver
in DSDP5, and the LP and QP solvers in MOSEK. I'm aware GLPK is
available for R, but wondered if anyone had good
packages for convex optimization along these lines for R.
TIA.
Convex optimization is a large problem domain with many interesting
new developments, and MOSEK is a particularly good implementation
of many of these developments. It is quite easy to get R to speak to
MOSEK via R.matlab -- i've been doing this recently for some work on
density
estimation,
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