Optimization Solvers

Survey

A good list of LP software is provided in the following article published in OR/MS Today:

Julia is a strong programming language with good support from [optimization communities (JuliaOpt). Read my Julia guide.

Selected Optimization Solvers with MATLAB Support

CPLEX

CPLEX is one of the most popular and most advanced optimization solvers, especially for LP and MILP. CPLEX is free for faculty and students. See this page for details.

CVX

IPOPT

Ipopt (Interior Point OPTimizer) is a COIN-OR project, which is open source. for large-scale nonlinear optimization. It provides interfaces with most major computer languages including MATLAB. The following steps worked for me.

  1. Go here and download mex files. The file name looks like [cci]Ipopt-3.11.0-linux64mac64win32win64-matlabmexfiles.zip[/cci]
  2. Unzip the downloaded file and put the files somewhere.
  3. Open MATLAB and type [cci]pathtool[/cci] to add the Ipopt mex folder to the path.
  4. Type [cci]doc ipopt[/cci] to check the installation and to read the help document.

### GLPK