markov_decision_process.rst

Solving optimization problems

Integer programs

Links

http://stackoverflow.com/questions/502102/best-open-source-mixed-integer-optimization-solver http://math.stackexchange.com/questions/252654/good-software-for-linear-integer-programming https://github.com/johnyf/tool_lists/blob/master/optimization.md

Spreadsheets

MS Excel / LibreOffice Calc

Tools -> Solver -> LibreOffice Linear Solver

MATLAB

CVX

The best interface currently availible.

Python

CVXOPT : http://cvxopt.org/index.html

CVXOPT is a free software package for convex optimization based on the Python programming language. It can be used with the interactive Python interpreter, on the command line by executing Python scripts, or integrated in other software via Python extension modules. Its main purpose is to make the development of software for convex optimization applications straightforward by building on Python’s extensive standard library and on the strengths of Python as a high-level programming language.

CVXPY : http://www.cvxpy.org/en/latest/

Interfaces with CVXOPT but offers a more intuitive interface to define the problem. GLPK

PICOS : http://picos.zib.de/index.html

• A Python Interface for Conic Optimization Solvers. Can call: cvxopt, smcp, mosek, cplex, gurobi, zibopt
• A lot of functionality for working with graphs. Finding max flow, min cut, etc.
• Convex semi-definite programming

PuLP : https://code.google.com/p/pulp-or/

• Similar to CVXOPT but less active and fewer updates.
• Interfaces to GLPK, CLP/CBC, CPLEX, GUROBI

NLOPT : http://ab-initio.mit.edu/wiki/index.php/NLopt

Nonlinear optimization library with Python bindings

COIN-OR Project

COIN-OR : http://www.coin-or.org/projects/

Index of packages interfacing to solvers

CBC (COIN-OR Branch-and-Cut MIP Solver)

• A set of routines written in C++ and can be used as a callable library or a stand-alone executable
• Solves linear programming (LP) and mixed-integer programming (MIP) problems

IPOPT : https://projects.coin-or.org/Ipopt

Large-scale nonlinear optimization

pyipopt : https://code.google.com/p/pyipopt/

Python interface to IPOPT

Standalone libraries

SCIP (ZIB) : http://scip.zib.de/

• The fastest open-source MIP and MINLP solver
• Python (python-zibopt) : https://code.google.com/p/python-zibopt/
• Solves MIQP using SCIP and SoPlex from the ZIB Optimization Suite

GLPK (GNU Linear Programming Kit) : https://www.gnu.org/software/glpk/

• A set of routines written in C and organized in the form of a callable library
• Solves linear programming (LP) and mixed integer programming (MIP) problems
• Can be accessed through CVXOPT

LP Solve : http://sourceforge.net/projects/lpsolve/

• Written in C and compilable on both Linux and Windows
• Solves linear programming (LP), mixed-integer programming (MIP), and semi-continuous and special ordered sets (SOS) problems
• R package: http://cran.r-project.org/web/packages/lpSolve/
• Python: http://lpsolve.sourceforge.net/5.5/Python.html

Gurobi : http://www.gurobi.com/products/licensing-and-pricing/academic-licensing

Fast commercial solver with a free academic license

CPLEX Optimizer : http://www-01.ibm.com/software/commerce/optimization/cplex-optimizer/index.html

Commercial package from IBM.

MDPs

POMDPs

A good tutorial on solving POMDPs: <http://cs.brown.edu/research/ai/pomdp/tutorial/>