sci.op-research

Hello,

On Feb 16, 12:27 am, Hans Mittelmann wrote:
> On Feb 15, 2:44 pm, hmob...@gmail.com wrote:
> > Any recommendation for a good *free* solver?

> So, you insist on Matlab?! That's bad. Let me look again....
> Are you a student? If yes, contact MOSEK.

I don't think MOSEK qualifies as _free_ solver.

Recently, Peter Carbonetto wrote an excellent Matlab interface to the
COIN IpOpt interior point solver. It is included in the official
distribution of COIN IpOpt available at https://projects.coin-or.org/Ipopt

I used it for convex programming and the performance is excellent (and
reported results in the literature are on-par with KNITRO). However,
the memory demand depends a lot on the sparsity structure of the
problem, ymmv. Also, the robustness and performance is crucially
dependant on which linear system solver is used, see the
recommendations on the IpOpt page.

As for the Matlab linprog/quadprog solvers, from my experience I
recommend against using them at all, even for small scale toy
problems. They are seriously broken and I wonder how these solvers
can actually be sold as part of the Optimization toolbox, it seems no
effort went into principled testing during development as even
standard benchmark problems cause the solver to exit errorneously.

Sebastian