For an overview of the available MOSEK documentation please see
mosek\5\help\index.html
in the distribution.
In this manual it is assumed the reader is familiar with mathematics and in particular mathematical optimization. Some introduction to linear programming can be found in books such as “Linear programming” by Chvátal [20] or “Computer Solution of Linear Programs” by Nazareth [12]. For more theoretical aspects see for example “Nonlinear programming: Theory and algorithms” by Bazaraa, Shetty, and Sherali [16]. Finally the book “Model building in mathematical programming” by Williams [1] provides an excellent introduction to modelling issues in optimization.
Another useful resource is “Mathematical Programming Glossary” available at