For MIQCPs Mosek seems to ignore the relative gap provided by GAMS (option optcr).
With either option opctr=0.1 (default) or optcr=0 (solve to optimality) I see:
An optimal solution satisfying the relative gap tolerance of 1.00e-002(%) has been located.
The relative gap is 9.36e-003(%).
Strangely enough for linear MIPs the optcr seems to work fine. Well, almost. It does not seem to like a real zero gap.
So probably we have:
| OPTCR | Mosek gap tolerance | ||
| MIP | 0 | 1.00e-002(%) | almost ok |
| MIP | 0.1 | 1.00e+001(%) | ok |
| MIQCP | 0 | 1.00e-002(%) | almost ok |
| MIQCP | 0.1 | 1.00e-002(%) | error |
Most solvers produce a report in the listing file:
MIQP Solution: 16305.625000 (12 iterations, 0 nodes) Best possible: 16222.656250 |
which is helpful understanding the quality of the solution. Unfortunately Mosek does not do this (it writes nothing to the listing file except for some advertisement).