I am looking for a C++ library, and I am dealing with convex objective and constraint functions.
+1
A:
From what I know, the CPLEX solver is the best convex optimization solver. Its the state of the art in LP solvers. Does convex optimization really well. While looking for it, I see that its IBM's software now. You can find it here : http://www-01.ibm.com/software/integration/optimization/cplex/
Ritesh M Nayak
2009-12-30 06:57:09
You can find other open source solvers and their performance benchmarks here: http://plato.asu.edu/ftp/lpfree.html Also, dont forget to check out http://code.msdn.microsoft.com/solverfoundation
Ritesh M Nayak
2009-12-30 06:59:44
Linear implies convex, not the other way around.
Benoît
2009-12-30 09:19:28
+1
A:
I am guessing your problem is non-linear. Where i work, we use SNOPT, Ipopt and another proprietary solver (not for sale). We have also tried and heard good things about Knitro.
As long as your problem is convex, all these solvers work well.
They all have their own API, but they all ask for the same information : values, first and second derivatives.
Benoît
2009-12-30 08:59:02