Decision Tree for Optimization Software
 

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The Constrained NLO Problem

The Problem:
min f(x) subject to h(x)=0, g(x)>=0,
n=dim(x), m=dim(g), p=dim(h).

The picture shows feasible domain and level sets for

f(x)=x1^2+x2^2,
g(x)=(x1^2-x2,x2^2-x1) .

Infeasible points are shown in dark brown and the levels of f are shown in the feasible domain.

You'll find several sections:

The LP-problem, also mixed integer and stochastic
The QP-problem, also mixed integer
Semidefinite and second-order cone programming
Geometric programming
Robust Optimization
The general nonlinear problem (dense, sparse, nonsmooth, SIP)
Mixed integer nonlinear programming
Network constraints
Special/constraint solvers
Control problems
other collections/problems


The LP-problem: f, g, h linear in x

The LP-problem is often very high-dimensional. Several tools are necessary to deal with such problems. Some are listed here:

plam

A free MILP modeling environment using lp_solve as MILP solver and SWI-Prolog

MPS

The description of the most widely used LP input format

MPSreader

An MPS reader for Windows

QSreader

a utility to convert this LP format to (and from) MPS; Windows/Unix executables

lp2mps

a utility (extracted from lp_solve) to convert the simple LP format to (and from) MPS

ABACUS

A general branch&cut library for mixed integer capability (C++, source and binaries for Linux&Solaris, CPLEX-8 or Soplex, has a simple TSP solver as demonstration example)

The following simplex-based solvers allow some or all of the variables to be constrained to attain integer values; all allow input in MPS format:

SCIP

Framework for Constraint Integer Programming, links to CPLEX, SOPLEX, or CLP as LP solver (C)

lp_solve

C source, various binaries, and interfaces

Pascal-MILP-solver

Borland-Pascal sources, DOS/WIN binaries

BonsaiG

C, B&B, dynamic LP, partial arc consistency algorithm, binaries

MOMIP

B&B&cut, Win95 binary, binaries

MINTO

B&C, Unix/Win binaries, using CPLEX or Clp; AMPL interface

PICO (part of ACRO)

B&C, using CPLEX, GLPK, or SOPLEX; AMPL interface

MOSEK

Simplex/IPM, Matlab, AMPL, GAMS interfaces, student license

GLPK

GNU LP library, B&B, dual/revised simplex, interior point, C, Win32-version, Matlab interface, Java interface. R interface, Python interface

CBC

Simple branch&cut solver, part of COIN-OR (C++)

SYMPHONY

callable library for solving mixed-integer linear programs, uses Clp as default LP solver (C)

ProLin

MILP solver, GUI, Windows executable, user's guide (in Portuguese)

CPLEXINT

Matlab interface to CPLEX (source and binaries)

MATLOG

(MATLAB) The milp.m solver (needs lp.m from Matlab optimization toolbox)

SCIL

Symbolic Constraints in Integer Linear programming (C++)

FEASPUMP

The Feasibility Pump for finding a feasible solution; needs CPLEX (C++)

MIPTS

Tabu search heuristic for MIP; MPS, AMPL, CPLEX-LP input (C)

PURE LP SOLVERS: most allow input in MPS format:

CLP

the COIN LP code, simplex (C++)

PyCOIN

Python interface to CLP (maybe more COIN solvers)

QSopt

Simplex based; executables, library for Windows/Unix, free for research&education, Concorde interface, Mex interface

SOPLEX

Simplex based, C++

BPMPD

interior point method, Win32-version, Unix-binaries (version 2.21), Unix-libraries (version 2.21), BPMPD_MEX , netlib-source (version 2.11, f77), C-version (version 2.11, f2c), AMPL interface

HOPDM

local version of code (interior point method using predictor-corrector-steps of higher order), HOPDM_C (f2c-converted version, includes f2c-library), IIASA-archive (C++/f77, dynamic memory allocation, binaries for Solaris and win95 only)

PCx

interior point method, f77/C, binaries for major platforms

LOQO

interior point method, C, student binaries, executables for major platforms, work for two months w/o license, AMPL interface, Matlab interface

COPL-LP

interior point method, includes crossover, DOS executable, HP binary, Linux binary

LIPSOL

interior point method, also MAT or LPP formats (Matlab)

IPO/SIMPO

interior and simplex LP-solver published in conjunction with Vanderbei's book, C

PCLP

predictor-corrector interior point code, SciLab or Matlab

SPHSLFBF

homogeneous self-dual interior point code, Matlab

MINOS

the long standing simplex based REFERENCE-implementation

MCMA

Multi-objective LP (Win95 and Solaris binaries only, includes tutorial models, based on HOPDM and MOMIP)

reducedLP

Constraint reduction for linear programs with many inequality constraints; paper and Matlab file

rMPC

Matlab interior point code specifically for LPs with many inequality constraints such as from a fine discretization of a semi-infinite LP


Polyhedral Codes

CDD

Polyhedral codes in C/C++

CDDMEX

Matlab interface to CDD

LRS

Polyhedral codes in C

More polyhedral codes

Avis's list

Polyhedral FAQ

Komei Fukuda's explanations


Exact LP Solvers

EXLP

Rational (exact) primal/dual simplex solver; needs GNU MP (C)

QSopt-Exact

Rational (exact) primal/dual simplex solver; libraries, executables (C)


Stochastic LP Solvers

Most accept input in SMPS format

SMPS reader

by Gus Gassman, in f90

det2sto

Downloadable Perl script to generate deterministic equivalent in AMPL format; websubmission

MSLiP

A Multistage Stochastic Linear Programming Code, available for research and teaching purposes from Horand I. Gassmann

BNBS

for multi-stage problems, uses CPLEX, SOPLEX, or GLPK as LP solver (C/C++)

SLP-IOR

based on GAMS, large solver library, free for academic use

DDSIP

Dual decomposition in two-stage stochastic mixed-integer programming, needs CPLEX lib (GPL, C)



The QP problem: f quadratic, (non)convex, g, h linear

Only bound constraints:

gpcg

More&Toraldo's method combining cg with gradient projection

BoxQP

package by H.B. Nielsen et al (f77, paper)

MINQ

General definite and bound constrained indefinite quadratic programming (in Matlab)

Only equality constraints ( m = 0):

toms/559

also for nonconvex f, provided the projected Hessian is positive definite

n not too large, strictly convex

qpOASES

online active set solver, works well for model predictive control (C++, Matlab/R/SciLab interfaces)

dualqp

f77 version of Spellucci's Goldfarb-Idnani dual QP solver

QPC

Active set and interior point, in C, callable from Matlab

QuadProg++

C++ code for Goldfarb-Idnani dual QP

QP_solver

exact QP solver, part of CGAL (C++)

n not too large, not necessarily convex

NewtonKKTqp

indefinite QP solver, interior point (Matlab)

IQP

indefinite QP package (in Port lib)

SPSOLQP

indefinite QP solver, interior point (Matlab)

QuadProgBB

indefinite QP solver, Matlab/MEX

n large

QPS (ext. MPS format)

from BPMPD

CONV_QP

various methods for sparse convex QP (f77)

MSS

Matlab software for large-scale trust-region subproblems

LSTRS

Matlab software for large-scale trust-region subproblems and regularization

COPL_QP

interior point, convex problems, C, ext. MPS input, user's guide

BPMPD

convex problems, ext. MPS input, Win-95 version, BPMPD_MEX , Unix-libraries, Unix-binaries

MOSEK

interior point, Win, Linux, Solaris binaries, ext. MPS input including quadratic constraints or through Matlab, student license

OOQP

object oriented C++ package, interior point, convex problems, needs MA27/57 from HSL archive

GALAHAD

QPA/QPB active set and IPM solvers, AMPL and ext. MPS(SIF) input

HOPDM

extension of LP-code, convex problems, ext. MPS input

QHOPDM

extension of HOPDM, ext. MPS input, matrix in quadratic term must be given as FTF

LOQO

interior point method, C, executables for major platforms, work for several months w/o license, AMPL interface, Matlab interface

RAL-QP

more QP codes (from the NA group at Rutherford Appleton Labs)

Software for specific quadratic programming problems:

GPDT

Parallel Gradient Projection-based Decomposition Technique for SVM, also serial, Linux binary & C++ source

OptiML

f77 and C++ software for 2-norm soft margin SVM plus C++ code for the sparse inverse covariance problem

OOQP

C++ package includes solver for SVM and Huber regression problems

Mixed integer quadratic programming:

MIQPBB

branch&bound code

PICOS

Python Interface for Conic Optimization Solvers

YALMIP

Matlab toolbox for rapid prototyping of optimization problems, supports many solvers; B&B for mixed integer problems

MIQP

0-1 only, needs LP/QP solver, e.g. linprog/quadprog (Matlab)

MOSEK

ext. MPS input, Win, Linux, Solaris binaries, Matlab, quadratic constraints, student license


SDP&SOCP (semidefinite and second-order cone programming)

Cone World initiative by GAMS

Linear semidefinite programming (SDP) solvers

SparseCoLo

Matlab package for exploiting sparsity in linear and nonlinear matrix inequalities via positive semidefinite matrix completion

SMCP

Python Extension for Sparse Matrix Cone Programs

ConicBundle

A bundle method for minimizing the sum of convex functions given by oracles or from Lagrangian relaxation (C++, GPL)

SDPHA

A Matlab package for a homogeneous primal-dual method

SCIP-SDP

An SDP Plugin for SCIP; solves MISDP

CSDP

A library for semidefinite programming, predictor-corrector version of algorithm by Helmberg, Rendl, Vanderbei, and Wolkowicz (C)

DSDP

Dual-scaling algorithm (C, Matlab interface, parallel version)

SDPA

Solves semidefinite programs utilizing a Mehrotra-type predictor-corrector step, uses sparse matrix structure, includes documentation (C++), Matlab and MPI parallel versions

PENSDP

Penalty/barrier method for linear semidefinite programming, SDPA format input,

SDPLR

solves large-scale SDP problems (C)

SDPSOL

Solves c^Tx-log(detG(x)) subject to the linear matrix inequality constraints G(x)>0, F(x)>0, subsumes LP, QP, and other convex problems, includes the author's SP and programs for which sources are available, binaries for major platforms, very convenient to use with Matlab

MPRW

Boundary Point Method, Random SDP generators (Matlab)

VSDP

Matlab package for verified SDP. Needs INTLAB and SDPT3 or SDPA.

MAXDET

Software for Determinant Maximization Problems (C; Matlab interface)

rmd

Rigorous MAXDET; wrapper for above code (C++)

CUTSDP

A Toolbox for a Cutting-Plane Approach Based on Semidefinite Programming (C)

Nonlinear semidefinite programming (SDP) solvers

PENLAB

Open source version of PENNON, also for NLP (Matlab)

PENBMI

Program for problems with quadratic objective and bilinear matrix inequality constraints (C)

QSDP

MATLAB software for convex quadratic semidefinite programming

SOCP solvers (second order cone problems, not SDP)

ECOS

Embedded Conic Solver (Ansi-C, interfaces to Matlab, CVX, Python, library-free)

MOSEK

Interior point code for LP, QP, and conic programming. Extended MPS or Matlab input, student license

SOCP

software for second order cone programming (C and Matlab)

LOQO

interior point method, C, student binaries, executables for major platforms, work for two months w/o license, AMPL interface, Matlab interface

SQL solvers (semidefinite, quadratic, linear problems, includes SDP, SOCP)

SeDuMi

Matlab toolbox for solving optimization problems over symmetric cones

SDPT3-4.0

Matlab implementation of infeasible path-following algorithms with Mehrotra type predictor-corrector and two types of search directions.

SDPpack

Primal-dual Mehrotra type predictor-corrector scheme, test for degeneracy and other additions, of historical interest

SDP solvers for discrete optimization problems

COPL_SDP

solves various cut problems, uses dual scaling method(C)

COPL_DSDP

mixed integer linear semidefinite problems, enhanced COPL_SDP, MPS-like input (C)

Max-AO

solves SDP relaxations of maximum stable set and maximum clique problems, graph input (C)

KYPD

solves special KYP SDP problems, needs Yalmip and SeDuMi (Matlab)

Applications of SDP/SQL/SOCP

MVU

Maximum Variance Unfolding and other machine learning codes (Matlab)

SFSDP

MATLAB software for sparse sensor network localization (needs SeDuMi)

SNLSDP

MATLAB software for sensor network localization

Sensor Location

M and P files for relaxed and full SDP approaches to network sensor location (needs SeDuMi), Matlab

DSPCA

Matlab package for sparse principal component analysis

PICOS

Python Interface for Conic Optimization Solvers

YALMIP

Matlab toolbox for rapid prototyping of optimization problems, supports many solvers; B&B for mixed integer problems

xLMI

freely available Matlab LMI solver

LMITOOL

LMI parser, part of Scilab

LMIRANK

Matlab toolbox for solving rank-constrained LMI problems

Matrix completions

Using SDP to solve the PSD and the Euclidean distance matrix completion problems (Matlab)

FIR toolbox

Matlab toolbox to optimize FIR filters and similar structures; needs SeDuMi or LOQO or other

SparsePOP

Sparse SDP Relaxation of Polynomial Optimization Problems (Matlab)

GloptiPoly

Polynomial objective and constraints, integer variables, needs SeDuMi (Matlab, GPL)

SOSTOOLS

Matlab toolbox to solve sum of squares polynomial problems; needs SeDuMi and Matlab's symbolic toolbox (GPL)


Geometric programming

GGPLAB

Interior point method for GP and generalized GP (Matlab)

MOSEK

Interior point method, AMPL, GAMS, Matlab, student license

COPL_GP / binaries

Primal-dual interior point method, includes user's guide


Robust Optimization

ROME

Robust Optimization Made Easy, modeling language and solver, needs CPLEX, or MOSEK, or SDPT3 (Matlab)

YALMIP

Extensive tutorial with sample scripts; LP, SDP, SOCP, SoS etc (Matlab)


The general nonlinear Problem

Using function values only

The functions f, g, h are not necessarily smooth. Only function values required.

DirectSearch

for local/global minimization, multi-objective optimization, nonlinear systems, data fitting (Maple)

LINCOA
C# version

Powell's f77 code for problems with linear inequality constraints (moderate number of variables)

CONDOR

parallel, constrained version of Powell's UOBYQA; SIF, AMPL, XML interfaces (C++)

COBYLA2 (f77, dble prec)
COBYLA2_f90
COBYLA2_C#
COBYLA_C

The functions depend on few variables (some hundred at most). An SLP method with estimation of gradients by linear interpolation of the individual functions on moving simplices, l_infinity exact penalty function as merit function. Inequality constraints only.
M. Powell's paper on Direct Search Methods

DFO

derivative free method of Conn, Scheinberg, and Toint

NOMAD

GPL-licensed code to do generalized pattern search for nonlinear and mixed variable optimization (C++)

NOMADm

research version of NOMAD (Matlab)

GANSO

several methods for global&nonsmooth problems (C/C++)


In the following it is assumed that f, g, h, are differentiable.

f general, bound constraints only

BOBYQA

Powell's bound-constrained optimization by quadratic approximation (f77) C#-version

SDBOX

derivative-free method (f90 and C)

fminsearchbnd

bound-constrained version of fminsearch (Matlab)

ASA_CG

bound-constrained version of CG_DESCENT (f77/C)

tn, C-version

use tnbc from this package, truncated Newton method using the Lanczos-process, n should be not too large since identification of binding constraints works inefficiently (classical active set method)

ve08

for separable convex f , structured quasi Newton method (Toint-Griewank)

LBFGS-B, f90, Java, Matlab

a limited memory quasi Newton (BFGS) method combined with gradient projection for bound constrained problems; directory contains software, drivers and a user's manual

TRON

trust region Newton, preconditioned cg, projected search f90-version

PL2

truncated Newton method using the Lanczos process with direct computation of a truncated spectral decomposition, uses a so called three directions method from Heinrich, uses directions of negative curvature. for large dimensional problems.

LBFGS, LM

Routines for LBFGS and Levenberg-Marquardt in 6 languages

LimMem

Several limited memory f77-routines; also for least squares

Matlab codes

Several codes (BFGS, CG), also nonnegativity constraints, applications


General linear constraints

COPL_LC

f convex, interior point method, needs Hessian

COPL_LC

f convex, interior point method, needs Hessian

PDCO

f separable convex, primal-dual interior point method (Matlab)


Most methods for general constraints use an exact nondifferentiable penalty function like the L1-penalty function. The following picture shows this function with weight 1 for h and weights 2 for g1 and g2 with f(x)=x1+x2, h(x)=x1^2+x2^2-1, g1(x)=x1, g2(x)=x2. It shows some of the intricacies involved in using these functions: not only the nondifferentiability, but also the possible occurrence of infeasible local minimizers. The problem has the two solutions (1,0) with multipliers (0.5,0,1) and (0,1) with multipliers (0.5,1,0). Hence the weights are large enough to make these strict local minima of the penalty function. But three more infeasible minima with the same function value 1 occur at (0,0), (-1,0) and (0,-1).

General nonlinear constraints, convex problems

CVX

Matlab package for disciplined convex optimization

CVXOPT

Python Software for Convex Optimization

NLPHOPDM

interior point method, solves convex nonlinear problems, AMPL, GAMS, CUTEr/SIF interface

SPG

Spectral Projected Gradient method, interfaces to AMPL, C/C++, Matlab, Python, Octave, R

MOSEK

solves convex, twice differentiable problems, GAMS, Matlab, and AMPL interface, student license

General nonlinear constraints, dense linear algebra

donlp2

a SQP/SECQP - method, very fast for regular problems, f77, f90, Ansi-C, exact/numerical/automatic gradients, and ps-files on mathematical background
AMPL interface, guide to AMPL version
Student binaries of DONLP2 with AMPL for different architectures

LIONsolver

reactive search, free for research

SDPEN

derivative free sequential penalty method for inequality constrained problems (f90)

SOLNP

Matlab-SQP solver, IP solver for QP's, includes manual

FFSQP(f77)
rFSQP,CFSQP(C)

specifically strong for many inequality constraints; generates iterates which are feasible with respect to inequality constraints, equality constraints split into two inequalities, one dealt with as constraint, the other transferred into a penalty term, ADIFOR interface for automatic differentiation. AMPL interface to CFSQP

CONMAX

uses ODE's to generate search direction followed by Newton to correct back to feasible region, authors claim it is very robust but somewhat slow.

CONMIN

old code by Vanderplaats (f90)

General nonlinear constraints, sparse linear algebra for high dimensional problems

Several codes have a CUTEr/SIF interface.

PENLAB

Open source version of PENNON (Matlab)

LANCELOT-A

transforms a general problem into one with nonlinear equality constraints and bound constraints on (some) variables and solves this using a modification of the Hestenes-Powell multiplier method (book: Conn&Gould&Toint: LANCELOT . Springer Series in Comp. Math. 17) AMPL interface

LANCELOT-B

part of GALAHAD, updated version, f90

HQP/OMUSES

motivated by discrete-time optimal control problems, solves general NLP using Powell's or Schittkowski's SQP with Newton-type barrier QP solver, needs Tcl; C++, SIF, or ASCEND input

SNOPT

solves large-scale linear and nonlinear problems; especially recommended if some of the constraints are highly nonlinear, or constraints respectively their gradients are costly to evaluate and second derivative information is unavailable or hard to obtain; assumes that the number of "free" variables is modest. AMPL&Matlab interfaces

MINOS

also capable of solving nonlinear problems, but not to be recommended for strong nonlinearities, AMPL interface

KNITRO

trust region interior point method, efficient for NLPs of all sizes, various interfaces

IPOPT

interior point method for large NLP, AMPL&Matlab&Python interfaces (C++)

IPFILTER

primal-dual interior point filter method for large NLP, AMPL&SIF&Fortran interfaces (f95)

LOQO

interior point method, C, executables for major platforms, work for several months w/o license, AMPL interface, Matlab interface

PENNON

Penalty-barrier code for large general NLPs, AMPL interface

nlpy

Python package for LP/NLP utilizing Fortran sources and external software

IP-PCG

interior point method for large NLP, partial AMPL interface (f95)

ALGENCAN

Augmented Lagrangian type method, interfaces to AMPL, C/C++, Matlab, Python, Octave, R

SQPlab

Matlab package for general NLP; needs optimization toolbox or MOSEK


Mathematical Problems with Equilibrium Constraints (MPECs)

IPOPT

interior point method for large NLP, AMPL interface (C++)

KNITRO

trust region interior point method, efficient for NLP's of all sizes, various interfaces

LOQO

interior point method, C, student binaries, executables for major platforms, work for two months w/o license, AMPL interface, Matlab interface


Minimization of Nonsmooth Functions

SLQP-GS

Sequential Linear or Quadratic Programming with Gradient Sampling (Matlab)

OBOE

Oracle-Based Optimization Engine for convex problems, uses Proximal-ACCPM interior point method, C++

SolvOpt

Solves nonsmooth unconstrained and constrained problems of moderate dimensions. Matlab m-files, Fortran and C source available.

NDA

Four different routines for Lipschitz continuous functions subject to linear constraints and for (small) minimax problems


Semi-infinite Programming

NSIPS

Three different methods (discretization, interior point, SQP dual), uses author's special AMPL interface (C source and Win-binaries)

CSIP

Matlab code for convex semi-infinite programming; AMPL interface


Mixed Integer Nonlinear Programming

DFL

derivative-free codes for bound and inequality constrained problems (f90)

Cyber-Infrastructure for MINLP

Meta site for MINLP

MINLP World

forum with links to solvers, problem libraries etc

BonMin

hybrid code from COIN-OR

Couenne

Exact solver for nonconvex problems

MIDACO

Mixed Integer Distributed Ant Colony Optimization (Matlab, C/C++, Fortran)

MILANO

Matlab-based mixed-integer linear and nonlinear solver

MINLP_BB

branch&bound and QP/SQP

Minotaur

source and Linux/Mac binaries

LaGO

B&C, Linux binary, binary variables only, GAMS interface

BARON

Branch And Reduce Optimization Navigator (avail. from AIMMS, GAMS)

BNB

B&B, Matlab, needs optimization toolbox

FMINCONSET

B&B, variables may be restricted to discrete sets, Matlab, needs optimization toolbox

MINLP

Matlab code for small number of integer variables

OPBDP
binaries

0-1 variables, objective and constraints polynomial (C++) A Davis-Putnam Based Enumeration Algorithm for Linear Pseudo-Boolean Optimization


Network Optimization

Linear objective function

MCF

C, network simplex method

Net_simplex

network simplex method, no source ( binaries)

GIDEN

Graphical Environment for Network Optimization (binaries, requires Java)

GOBLIN

Tcl/Tk based for graph and network problems (LGPL, C++ source, binaries)

PDNET

interior point method, f77&C

IPM

interior point method, f77&C

MCFClass

abstract C++ class for single commodity MCF problems incl 5 solvers: RelaxIV, MCFZIB, CS2, MCFCplex, SPTree

RelaxIV

MCF solver by Bertsekas&Tseng plus other network and assignment solvers

Netsoft

Andrew Goldberg's Network Optimization Library in C

Nonlinear objective function

LSNNO

f77 code from netlib

PPRN

library for various platforms

PFNRN

nonlinear constraints, Solaris/Windows binaries


Special/constraint Solvers/Languages

Manopt

Optimization on Riemannian manifolds (Matlab)

Rational

Exact solvers for sparse and dense rational linear systems (C, GMP) plus large set of test problems

GloptLab

a configurable framework for the rigorous global solution of quadratic constraint satisfaction problems (Matlab)

ECLiPSe

Constraint Programming System, source, binaries, public license

RealPaver

Interval-based nonlinear constraint solver; source, binaries, documentation (C, BSD license)

RSOLVER

Solver for qualified inequality constraints; source, linux binaries, Java GUI, remote access, other constraint solvers

ICOS

Interval COnstraints Solver, AMPL interface, Linux&Windows-Cygwin binaries

WSAT(OIP)

domain independent local search method for linear integer constraints, Linux binary has AMPL/CPLEX interface

Constraints Archive

Links to Constraint Programming solvers

Filtrane

part of Galahad, nonlinear constraints, filter method, f90

MVE

Finding the largest ellipsoid inscribing a given polytope (GPL, Matlab)

Miniball

Finding the smallest enclosing ball of points (GPL, C++)

Miniball@sourceforge

Finding the smallest enclosing ball of balls, QPL-licensed, C++


Dynamic Programming

Open DP

general dynamic programming software to optimize discrete time processes, with continuous or discrete decisions; random processes (observable or not) allowed

SDP

Generalized software for solving stochastic dynamic optimization problems (win executable)

DP2PN

Java package for dynamic programming; needs javac

ACADO

Toolkit for automatic control and dynamic optimization (C++, Matlab interface)

CompEcon Tb

Matlab toolbox for computational economics and finance incl general optimization, dynamic programming, stochastic control


Control Problems

dsoa

Dynamic System Optimization (C/C++)

MOOSE

Model Based Optimal Input Signal Design Toolbox (Matlab)

ACADO

Toolkit for control (C++, Matlab interface)

POCP

Package for Polynomial Optimal Control Problems, uses Gloptipoly or Yalmip (Matlab)

SQPlab

Matlab solver for nonlinear optimization and optimal control

OpenDDPT

Open Discrete Dynamic Programming Template (C/C++); includes unconstrained optimization package

LAAS-MAC

Links to various control-related software

OptControlCentre

package for the optimization of dynamical systems in energy and chemical engineering

HIFOO

A MATLAB package for fixed-order controller design and H-infinity optimization

RoMulOC

Robust Multi-Objective Control toolbox, uses YALMIP (Matlab)

MPT

Multi-parametric toolbox for constrained linear and piecewise affine systems (Matlab)

CompEcon Tb

Matlab toolbox for computational economics and finance incl general optimization, dynamic programming, stochastic control

SLICOT

Control and Systems Library. Very comprehensive.

MR and LTV Synthesis Tools

Provides commands for H-Infinity synthesis of discrete LTV systems and multirate sampled LTI systems

DIRCOL

Direct collocation method. Optimal ODE control problems with control and state constraints are solved as NLPs with NPSOL or SNOPT

Control in Java

A Java Application for the Solution of Optimal Control Problems

PAREST

A direct multiple shooting method for the numerical solution of optimal control and parameter estimation problems

Biomimikry

Matlab code for Optimization, Control, and Automation

OCS

SciLab/Maple based to solve unconstrained ODE control problems

SODAS and more

Suite of codes to solve optimal control and related problems especially with DAEs

HQP/OMUSES

ODE/DAE, automatic differentiation, own format or ASCEND or Simulink input, HQP to solve NLPs (C, C++, f77, Tcl)

PDECON

Optimal Control of Ordinary, Algebraic and One-dimensional Partial Differential Equations

TRICE

Designed to solve discretized PDE-constrained optimization problems with trust region interior point SQP methods


Other collections or problem types

Optizelle

Open source software for general NLP problems; multilanguage support

Compressive Sensing

software for compressive sensing (mostly Matlab)

MCQueue

transient and steady-analysis of discrete-time and continuous-time Markov chains, performance measures or basic queueing models

SVM software

Links to Gaussian Processes and SVM software

IMMOPTIBOX

Matlab toolbox for Optimization and Data Fitting

YALMIP

Matlab toolbox for rapid prototyping of optimization problems, supports 20 solvers

HYSDEL

Hybrid Systems Description Language and other downloads

Modulopt

Fortran 77 codes for smooth and nonsmooth unconstrained, bound-constrained, and general NLP; test problems

TANGO

Collection of Fortran codes for NLP; applications, testproblems.

CompEcon Tb

Matlab toolbox for computational economics and finance incl general optimization, dynamic programming, stochastic control

DAKOTA

A Multilevel Parallel Object-Oriented Framework for Design Optimization, Parameter Estimation, Uncertainty Quantification, and Sensitivity Analysis

OPT++

An Object-Oriented Nonlinear Optimization Library

UFO

Interactive System for Optimization, very comprehensive; f77 interface for various systems/compilers, library

TOMLAB

commercial Matlab optimization package, comprehensive, with interfaces to many state-of-the-art optimization solvers, e.g. CPLEX , FICO-Xpress , MINLP_BB, MIQPBB, filterSQP , PENBMI, PENSDP. It includes SOL software , expensive and non-convex global optimization solvers, approximation methods etc.

Excel Add-ins

Rich selection for many OR and optimization problems

PARAM

Klaus Schittkowski's software, especially parameter-identification

KELLEY

Iterative Methods for Optimization by T. Kelley, codes in Matlab and f77

MATLOG

Facility location and logistics toolbox (Matlab)

PLT

production/storage/transport, various solvers as Win binaries

VRP Web

comprehensive information/links on VRP

DistOpt

Solving large-scale problems through decomposition. Requires Ptolemy, works with various free for research or commercial solvers. Tcl/Tk graphics, C++.

Cheddar

GPL-licensed real-time scheduling simulator, source, Win/Linux/Solaris binaries

FIR toolbox

Matlab toolbox to optimize FIR filters and similar structures; needs SeDuMi or LOQO or other

LOLA

a package for planar location problems (solves continuous and discrete cases)

StarFLIP

A reusable iterative optimization library for combinatorial problems with fuzzy constraints (C++)

MOZART

Advanced development platform based on Oz. Demos include constraint programming, multi-agent, and concurrent applications.

Constraints Archive

More links to Constraint Systems