Open source alternative to Mosek? [closed]

Question

Is there an open source alternative to Mosek?

Basically, I'm looking for large scale convex optimization solver packages.

Thanks!

EDIT:

Forgot to mention earlier, problem is non-linear; mostly quadratic, but occasionally may need non-quadratic constraints + non-quadratic objective

Spiracle

Answer 1

There are many packages, mostly with Matlab interfaces, like SDPT3, SeDuMi, and CVX. I believe the first two have their backends in C. The websites of these projects link to other packages. What language did you have in mind?

Representation

I want it to be fast. I'm not sure what constraints this places on the language, other than it uses a fast matrix library? – Spiracle

The speed is limited by the library mostly. Most of these should be optimized to use efficient matrix primitives already. Even if the underlying matrix handling is done by Matlab, you can swap out Matlab's low level libraries for tuned ones I believe. – Representation

Answer 2

Does GLPK suit you?

Callant

Isn't that just for linear programming? The OP was looking for convex optimization which may not be linear. – Phenylalanine