Open source alternative to Mosek?

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answers:

+1 Q:

Open source alternative to Mosek?

Is there an open source alternative to Mosek?

Basically, I'm looking for large scale convex optimization solver packages.

Thanks!

EDIT:

Forgot to mention earlier, problem is non-linear; mostly quadratic, but occasionally may need non-quadratic constraints + non-quadratic objective

+1 A:

Does GLPK suit you?

lhf 2010-07-13 20:44:49

Isn't that just for linear programming? The OP was looking for convex optimization which may not be linear.

andand 2010-07-13 21:24:17

+1 A:

There are many packages, mostly with Matlab interfaces, like SDPT3, SeDuMi, and CVX. I believe the first two have their backends in C. The websites of these projects link to other packages. What language did you have in mind?

Victor Liu 2010-07-13 23:22:44

I want it to be fast. I'm not sure what constraints this places on the language, other than it uses a fast matrix library?

anon 2010-07-14 01:00:05

The speed is limited by the library mostly. Most of these should be optimized to use efficient matrix primitives already. Even if the underlying matrix handling is done by Matlab, you can swap out Matlab's low level libraries for tuned ones I believe.

Victor Liu 2010-07-14 01:49:09