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Hi there,
I do assume you are talking about the CVXOPT (and CVXMOD) Python package(s).
Please note that CVXOPT only contains _interfaces_ to the solvers in MOSEK,
because these are commercial products (as Roger Koenker already has mentioned).
There appear to be some Python/Scipy-based solvers
Convex optimization is a large problem domain with many interesting
new developments, and MOSEK is a particularly good implementation
of many of these developments. It is quite easy to get R to speak to
MOSEK via R.matlab -- i've been doing this recently for some work on
density
estimation, but
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