What's a good convex optimization library?

c++ mathematical-optimization convex
areslp picture areslp · Dec 30, 2009 · Viewed 15.9k times · Source

I am looking for a C++ library, and I am dealing with convex objective and constraint functions.

Answer

Benoît picture Benoît · Dec 30, 2009

I am guessing your problem is non-linear. Where i work, we use SNOPT, Ipopt and another proprietary solver (not for sale). We have also tried and heard good things about Knitro.

As long as your problem is convex, all these solvers work well.

They all have their own API, but they all ask for the same information : values, first and second derivatives.

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