FortMP is a software package for solving large-scale

optimization Mathematical optimization (alternatively spelled ''optimisation'') or mathematical programming is the selection of a best element, with regard to some criteria, from some set of available alternatives. It is generally divided into two subfiel ...

problems. It solves

linear programming Linear programming (LP), also called linear optimization, is a method to achieve the best outcome (such as maximum profit or lowest cost) in a mathematical model whose requirements and objective are represented by linear function#As a polynomia ...

problems,

quadratic programming Quadratic programming (QP) is the process of solving certain mathematical optimization problems involving quadratic functions. Specifically, one seeks to optimize (minimize or maximize) a multivariate quadratic function subject to linear constr ...

problems and mixed integer programming problems (both linear and quadratic). Its robustness has been explored and published in the

Mathematical Programming Mathematical optimization (alternatively spelled ''optimisation'') or mathematical programming is the selection of a best element, with regard to some criteria, from some set of available alternatives. It is generally divided into two subfiel ...

journal. FortMP is available as a standalone executable that accepts input in MPS format and as a library with interfaces in C and Fortran. It is also supported in the

AMPL AMPL (A Mathematical Programming Language) is an algebraic modeling language to describe and solve high-complexity problems for large-scale mathematical computing (e.g. large-scale optimization and scheduling-type problems). It was developed ...

modeling system. The main algorithms implemented in FortMP are the primal and dual

simplex algorithm In mathematical optimization, Dantzig's simplex algorithm (or simplex method) is a popular algorithm for linear programming. The name of the algorithm is derived from the concept of a simplex and was suggested by T. S. Motzkin. Simplices are ...

s using

sparse matrices In numerical analysis and scientific computing, a sparse matrix or sparse array is a matrix (mathematics), matrix in which most of the elements are zero. There is no strict definition regarding the proportion of zero-value elements for a matrix ...

. These are supplemented for large problems and quadratic programming problems by interior point methods. Mixed integer programming problems are solved using

branch and bound Branch and bound (BB, B&B, or BnB) is a method for solving optimization problems by breaking them down into smaller sub-problems and using a bounding function to eliminate sub-problems that cannot contain the optimal solution. It is an algorithm ...

algorithm.

References

External links

FortMP Overview

FortMP home page

OptiRisk Systems home page
{{DEFAULTSORT:Fortmp Mathematical optimization software