Sep
11

## Mixed Integer Linear Programming (MILP) solver

Are you fed up with "linprog" or "fmincon" command in Matlab? do you sometimes find the results violate your providing constraints while Matlab says "condition satisfied", or sometimes you get a weird solution while Matlab tells you "convergence successful", etc. (I am not saying bad words about Matlab, I AM a fan of it, but if there is a better solution for the given problem, why not at least try it?)

Optimization packages are widelyspread, here is a site i introduced, optimization package. Several days ago a friend of mine sent me a link about lp-solver, which is a Mixed Integer Linear Programming (MILP) solver, convenient to use and highly efficient, cannot help sharing with you all. (please submit your favorite code site if you happen to find one and help others, thanx.)

The name itself tells you this package is for linear programming problem, What is Linear Programming then? A Linear Program (LP) is a problem that can be expressed as follows:

minimize cx

subject to Ax = b

x >= 0

where x is the vector of variables to be solved for, A is a matrix of known coefficients, and c and b are vectors of known coefficients. The expression "cx" is called the objective function, and the equations "Ax=b" are called the constraints. LP is widely used for portfolio optimization, for instance, to mimic the performance of an index, to minimize tracking error of your portfolio, etc. Don't hesitate to try it yourself.

PS: lp-solver can be called as a library from different languages like C, VB, .NET, Delphi, Excel, Java, ...It can also be called from AMPL, MATLAB, O-Matrix, Scilab, Octave, R via a driver program. you will find a way.

Download at http://lpsolve.sourceforge.net/5.5/.

Hot posts:

15 Incredibly Stupid Ways People Made Their Millions

Online stock practice

Ino.com: Don't Join Marketclub until You Read This MarketClub Reviews

World Changing Mathematical Discoveries

Value at Risk xls

Random posts:

Download Multiple Stock Quotes From Yahoo Finance

Pricing Derivatives Securities using MATLAB

Process Simulation in R

Happy Thanksgiving 2011

Demystifying the Job Search Process in Quantitative Finance

Optimization packages are widelyspread, here is a site i introduced, optimization package. Several days ago a friend of mine sent me a link about lp-solver, which is a Mixed Integer Linear Programming (MILP) solver, convenient to use and highly efficient, cannot help sharing with you all. (please submit your favorite code site if you happen to find one and help others, thanx.)

The name itself tells you this package is for linear programming problem, What is Linear Programming then? A Linear Program (LP) is a problem that can be expressed as follows:

minimize cx

subject to Ax = b

x >= 0

where x is the vector of variables to be solved for, A is a matrix of known coefficients, and c and b are vectors of known coefficients. The expression "cx" is called the objective function, and the equations "Ax=b" are called the constraints. LP is widely used for portfolio optimization, for instance, to mimic the performance of an index, to minimize tracking error of your portfolio, etc. Don't hesitate to try it yourself.

PS: lp-solver can be called as a library from different languages like C, VB, .NET, Delphi, Excel, Java, ...It can also be called from AMPL, MATLAB, O-Matrix, Scilab, Octave, R via a driver program. you will find a way.

Download at http://lpsolve.sourceforge.net/5.5/.

**People viewing this post also viewed:**

Hot posts:

Random posts: