Tools : Automatic Differentiation, Modeling Systems, Demos and Analysis
Tools
We list here the above mentioned tools only. Others may be useful and/or
even
necessary, like preprocessors for systems of linear inequalities and
equations, e.g. for eliminating fixed variables, redundant equalities and
inequalities and similar tasks. There is no separate public
domain software tool
for these tasks. Some of the modeling systems mentioned below, however,
include such options.
General note on Automatic
Differentiation
While it is frequently
necessary or desirable to replace gradients by numerical differentiation,
a tool
that became available more recently is that of automatic differentiation.
NLP programs which have both options include DONLP2 and FSQP (see under
programs for general nonlinear programming).
A comparison of the various differentiation techniques is given in
Griewank's paper.
The following are links to some general automatic differentiation
software:
These codes take a subprogram for computing a function as input and
automatically generate
a subprogram for computing the gradient and/or the Hessian as output.
 |
Tapenade |
Source-to-source f77 (and most of f95);
websubmission or
local installation as JAR archive |
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TAMC |
Tangent and linear Adjoint Model
Compiler; websubmission,
f77
and most f90 extensions, forward and reverse modes |
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netlib/toms/746 |
method of K. Schittkowski et al,
f77 |
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ADIFOR |
by C. Bischof et al; f77
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ADIC |
by C. Bischof et al; C
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ADOL-C |
A. Griewank's packages for
programs in C/C++,
forward and reverse mode |
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MXYZPTLK |
C++ library, initiated at
Fermilab |
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ADMAT/ADMIT |
automatic differentiation in Matlab, forward and reverse mode |
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ADiMAT |
automatic differentiation in Matlab, forward mode |
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INTLAB |
automatic differentiation in Matlab, forward mode |
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Revolve |
checkpointing for reverse
mode |
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more AD
tools |
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Modeling Languages
Modeling languages allow you to formulate a linear or nonlinear
programming problem in
mathematical terms in a way near your original problem and automatically
generate an evaluation code appropriate for a corresponding solver.
Different solvers need different interfaces, hence not all codes come
with interfaces for such modeling languages. The following example shows
a typical problem in mathematical terms, coded in C , coded in the
modeling language AMPL, and finally coded in SIF
ALKYLATION .
SIF
means standard input format and has been developed by
Conn, Gould and Toint in connection with their LANCELOT project.
It is an extension of the old linear programming MPS format. If one
has coded a problem in SIF, then the SIF evaluation tools allow
computation of exact first and second order derivatives.
SIF is fully documented in the book
A.R. Conn, N.I.M. Gould, Ph. L. Toint: "LANCELOT A Fortran
Package for Large-Scale Nonlinear Optimization", Springer publisher, 1992,
ISBN 3-540-55470-X.
Here comes a list of some modeling languages/systems:
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AMPL |
For many codes links are
given to an
AMPL interface.
The AMPL modeling language is a commercial product, but student
binaries are available
here and
here are Emacs and Vim interfaces.
|
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GAMS |
commercial modeling system with many solvers and related services
|
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AIMMS |
commercial modeling platform, interactive graphical display, educational package
|
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OptimJ |
extension of Java with support for optimization models, interfaces to CPLEX, MOSEK, lp_solve, LP&MPS input
|
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LPFML |
A W3C XML Schema for Linear
Programming; C++ source,
binaries, OSI, LINDO, AMPL interfaces
|
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plam | A free
MILP modeling environment
using lp_solve as
MILP solver and
SWI-Prolog |
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PuLP
|
Python-based LP modeler,
calls GLPK, Coin-CLP/CBC,
CPLEX, GUROBI, XPRESS
|
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Cmpl
|
Modeling language used by Coliop; GPL (C++)
|
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FLOPC++ |
C++ class library for
algebraic modelling of linear
optimization problems (LP/MIP); uses COIN OSI interface.
|
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ZIMPL |
GPL-licensed LP/MILP
modelling language, produces
lp/MPS formats (C) |
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ASCEND
|
An extensive GPL-licensed
modeling system (source,
binaries, docs).
|
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OCOMA
|
Maple based code generator
for nonlinear model
predictive control, graphical interface.
|
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IPAT-S
|
Extensive LGPL-licensed
scenario scripting language,
GUI, Win executables, source; includes lp_solve.
|
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others |
Other modeling systems,
several of which come with
free demo versions.
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Demos and Analysis Tools
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Solver-o-matic |
Decision tree to choose solver for nonsmooth problems from list of opensource codes
|
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P-SQP |
Penalty-Sequential Quadratic Programming with Infeasibility Detection for general NLP (Matlab)
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Interactive Modules |
Java-based demos of basic optimization methods; also least squares and nonlinear equations
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perPlex |
Tool to verify the feasibility, optimality, and integrality of a linear programming basis (C, GPL)
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Dr.
Ampl |
Problem analyzer for AMPL
models; can be hooked to
NEOS
|
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MProbe
|
Analysis tool for Nonlinear
Programs (AMPL, GAMS,
MPS, Win student version)
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MINOS(IIS) |
Software Tool for Analyzing
Infeasible Linear
Programs (Win student version)
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