Q:mps2gms.exe produces a gms file which includes “cone equations” in its equations section. I wonder whether cone constraints can be defined in mps files at all? (I could not produce an mps file from a gms cone problem by mpswrite.) Is the “cone equations” section in the gms file generated by mps2gms unnecessary?
The developer of MOSEK introduced an extension for cones in their MPS format. CONVERT with option
cplexMPS creates such an MPS file when generating a model with cone constraints.
Please note MPSWRITE has now been replaced by CONVERT. CONVERT is not so creative about names, but it can write the dictionary which allows you to match the GAMS and the MPS variables and constraints.