What good optimizers are available for convex optimization problems? - Linux

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  1. What good optimizers are available for convex optimization problems?

    What good optimizers are available for convex optimization problems?

    Hi all,

    My optimization problem is a convex one. It has tens of variables.

    I am currently using Matlab's "fmincon" (the constrained optimization
    solver), because I need to set both lower bounds and upper bounds of the
    variables, and also I have one equality constraint for the variables to
    satisfy.

    Because the dimension is high, the Matlab medium scale solver searches in
    its sub-iteration each directions along each variable. Each function
    evaluation takes some time. And one iteration takes about a minute. The
    whole process was very slow.

    And even more weirdly, at each major iteration, the Matlab prints out the
    result at the end of that iteration, many times I saw the f(x) values were
    going up, although I am doing the "fmincon" which supposedly searches the
    min value of the function.

    I want to ask if there are other good optimization solvers available, given
    that my problem is a convex programming problem. I hope to try a few
    public-domain solvers, and compare their performance and finally select one
    to use. The program could be in Matlab or C/C++ or Fortran. Since I don't
    have time to learn and try many ones, I want your recommendations for good,
    reliable and fast ones.

    Thank you very much!



  2. Re: What good optimizers are available for convex optimization problems?

    On Jul 13, 6:34 pm, "Linus Utopia" wrote:
    > What good optimizers are available for convex optimization problems?
    >
    > Hi all,
    >
    > My optimization problem is a convex one. It has tens of variables.
    >
    > I am currently using Matlab's "fmincon" (the constrained optimization
    > solver), because I need to set both lower bounds and upper bounds of the
    > variables, and also I have one equality constraint for the variables to
    > satisfy.
    >
    > Because the dimension is high, the Matlab medium scale solver searches in
    > its sub-iteration each directions along each variable. Each function
    > evaluation takes some time. And one iteration takes about a minute. The
    > whole process was very slow.
    >
    > And even more weirdly, at each major iteration, the Matlab prints out the
    > result at the end of that iteration, many times I saw the f(x) values were
    > going up, although I am doing the "fmincon" which supposedly searches the
    > min value of the function.
    >
    > I want to ask if there are other good optimization solvers available, given
    > that my problem is a convex programming problem. I hope to try a few
    > public-domain solvers, and compare their performance and finally select one
    > to use. The program could be in Matlab or C/C++ or Fortran. Since I don't
    > have time to learn and try many ones, I want your recommendations for good,
    > reliable and fast ones.
    >
    > Thank you very much!



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