Installing Mosek and Eigen

Both rdbb and dbbpy rely on Mosek to perform the optimization task underlying the model in Pazarbasi, Altan, Schneider, Paul Georg, and Vilkov, Grigory. Dispersion of Beliefs Bounds: Sentimental Recovery. Swiss Finance Institute Research Paper No. 19-57, Management Science, forthcoming, available at SSRN or DOI. Eigen is required to perform linar algebra operations. This page aims to guide the user in the process of installing Mosek and Eigen on diffent operative systems.

Installing Mosek

To use Mosek a commercial license is necessary. More about license can be found at this link and it is relevant that Mosek provides a personal academic license and a trial license.

Then the user has to download the Mosek binary appropriate for their operating system and, based on the operative system should:

Windows

• run the installer and follow the prompts

• add the installation directory to the system PATH as:

MOSEK_HOME = <MOSEK>\mosek\10.2\tools\platform\<PLATFORM>

Linux

• extract the downloaded tarball

• add the installation directory to the system PATH (typically to the .bashrc file or to the .bash_profile file) as:

export MOSEK_HOME = <MOSEK>/mosek/10.2/tools/platform/<PLATFORM>

MacOS

• extract the downloaded package

• add the Mosek binaries to your PATH. For example, add the following to your .bash_profile or .zshrc:

export MOSEK_HOME = <MOSEK>\mosek\10.2\tools\platform\<PLATFORM>

where

• <MOSEK> is the folder in which the MOSEK Optimization Suite has been installed

• <PLATFORM> is the actual platform among those supported by MOSEK, i.e. win64x86, linux64x86 or osx64x86.

Installing Eigen

Visit Eigen website and download the latest stable distribution. Then, based on your OS:

Windows

Extract the downloaded zip file to a desired location, e.g., C:\Eigen

Linux/MacOS

Extract the downloaded tarball:

tar -xzvf eigen-<VERSION>.tar.gz