I’m having some problem using mkl pardiso solver for osqp (R version).
In particular I tried to follow the steps to install mkl from https://osqp.org/docs/get_started/linear_system_solvers.html but I can’t find the mklvars.bat file. However I tried to use setvars.bat (as the Intel site says) but when I try to use osqp in R I get the following error before R kills the session: “Windows error while loading dynamic library mkl_rt.dll, error = 126ERROR in osqp_setup: Linear system solver not available.
Tried to obtain it from shared library.”
This is the code:
P <- Matrix(c(11., 0.,0., 0.), 2, 2, sparse = TRUE)
q <- c(3., 4.)
A <- Matrix(c(-1., 0., -1., 2., 3.,0., -1., -3., 5., 4.), 5, 2, sparse = TRUE)
u <- c(0., 0., -15., 100., 80)
l <- rep_len(-Inf, 5)
settings <- osqpSettings(verbose = FALSE, linsys_solver = 1)
model <- osqp(P, q, A, l, u, settings)
There is certainly something that I have missed/I have not understood/I have forgotten, but I can not figure it out. I hope you can help me.