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mathematical-optimizationlinear-programmingconvex-optimizationcplex

Best open source Mixed Integer Optimization Solver

I am using CPLEX for solving huge optimization models (more than 100k variables) now I'd like to see if I can find an open source alternative, I solve mixed integer problems (MILP) and CPLEX works great but it is very expensive if we want to scale so I really need to find an alternative or start writing our own ad-hoc optimization library (which will be painful)

Any suggestion/insight would be much appreciated

Solution

  • I personally found GLPK better (i.e. faster) than LP_SOLVE. It supports various file formats, and a further advantage is its library interface, which allows smooth integration with your application.