I'm trying to find a way to limit the time of execution of MSK_optimize routine. However, browsing through MOSEK docs gives me nothing. I have tried with:
MSK_putnaintparam( task, "MSK_DPAR_OPTIMIZER_MAX_TIME", 1 );
and playing with the value on the right, but this does not seem to solve the problem and looks like it does not even affect MOSEK. Setting MSK_DPAR_MIO_MAX_TIME manually is not possible. Other than that, I have found nothing that can influence maximum time MOSEK will run. Any help appreciated.
The function MSK_putnaintparam( task, "MSK_DPAR_OPTIMIZER_MAX_TIME", 1 ); would have returned a proper error code. So if you did not ignore those you would have discovered your mistake.