Numerical solvers
The number of numerical solvers is huge. First, we give a short biased list of solvers which we may use within this course.
- Optimization Toolbox for Matlab: fmincon, fminunc, linprog, quadpro, … Available within the all-university Matlab license for all students and employees at CTU.
- Gurobi Optimizer: LP, QP, SOCP, MIP, commercial (but free academic license available).
- IBM ILOG CPLEX: LP, QP, SOCP, MIP, commercial (but free academic license available).
- MOSEK: LP, QP, MIP, SOCP, SDP, commercial (but free academic license available).
- HIGHS: LP, QP, MIP, open source.
- Knitro: NLP, commercial.
- Ipopt: NLP, open source.
- SEDUMI: SOCP, SDP, open source.
- …
Second, for a reasonably comprehensive and well maintained list of solvers, consult the NEOS Guide to Optimization web page (in particular the link at the bottom of that page). Similar list is maintained within Hans Mittelman’s Decision Tree for Optimization Software web page.
Working in Matlab and using Yalmip for defining and solving optimization problems, the list of optimization solvers supported by Yalmip shows what is available.
Similarly, users of Julia and JuMP will find the list of solvers supported by JuMP useful. The list is worth consulting even if Julia is not the tool of choice, as many solvers are indepdenent of Julia.
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