The FICO Xpress optimizer is a commercial optimization

solver A solver is a piece of mathematical software, possibly in the form of a stand-alone computer program or as a software library, that 'solves' a mathematical problem. A solver takes problem descriptions in some sort of generic form and calculates t ...

for

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 are represented by linear function#As a polynomial function, li ...

(LP),

mixed integer 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 are represented by linear relationships. Linear programming is ...

(MILP), convex quadratic programming (QP), convex quadratically constrained quadratic programming (QCQP), second-order cone programming (SOCP) and their mixed integer counterparts. Xpress includes a general purpose non-linear solver, Xpress NonLinear, including a successive linear programming algorithm (SLP, first-order method), and

Artelys Knitro Artelys Knitro is a commercial software package for solving large scale nonlinear mathematical optimization problems. KNITRO – (the original solver name) short for "Nonlinear Interior point Trust Region Optimization" (the "K" is silent) – was ...

(second-order methods). Xpress was originally developed by Dash Optimization, and was acquired by FICO in 2008. Its initial authors were Bob Daniel and Robert Ashford. The first version of Xpress could only solve LPs; support for MIPs was added in 1986. Being released in 1983, Xpress was the first commercial LP and MIP solver running on

PCs A personal computer (PC) is a multi-purpose microcomputer whose size, capabilities, and price make it feasible for individual use. Personal computers are intended to be operated directly by an end user, rather than by a computer expert or techn ...

. In 1992, an Xpress version for parallel computing was published, which was extended to distributed computing five years later. Xpress was the first MIP solver to cross the billion matrix non-zero threshold by introducing 64-bit indexing in 2010. Since 2014, Xpress features the first commercial implementation of a parallel dual simplex method.

Technology

Linear and quadratic programs can be solved via the primal simplex method, the dual simplex method or the barrier

interior point method Interior-point methods (also referred to as barrier methods or IPMs) are a certain class of algorithms that solve linear and nonlinear convex optimization problems. An interior point method was discovered by Soviet mathematician I. I. Dikin in 1 ...

. All mixed integer programming variants are solved by a combination of the branch and bound method and the

cutting-plane method In mathematical optimization, the cutting-plane method is any of a variety of optimization methods that iteratively refine a feasible set or objective function by means of linear inequalities, termed ''cuts''. Such procedures are commonly used t ...

. Infeasible problems can be analyzed via the IIS (

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infeasible subset) method. Xpress provides a built-in tuner for automatic tuning of control settings. Xpress includes its modelling language Xpress Mosel and the integrated development environment Xpress Workbench. Mosel includes

distributed computing A distributed system is a system whose components are located on different computer network, networked computers, which communicate and coordinate their actions by message passing, passing messages to one another from any system. Distributed com ...

features to solve multiple scenarios of an optimization problem in parallel. Uncertainty in the input data can be handled via

robust optimization Robust optimization is a field of mathematical optimization theory that deals with optimization problems in which a certain measure of robustness is sought against uncertainty that can be represented as deterministic variability in the value of the ...

methods. Xpress has a modeling module called BCL (Builder Component Library) that interfaces to the C, C++,

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programming languages, and to the

.NET Framework The .NET Framework (pronounced as "''dot net"'') is a proprietary software framework developed by Microsoft that runs primarily on Microsoft Windows. It was the predominant implementation of the Common Language Infrastructure (CLI) until bein ...

. Independent of BCL, there are

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and

MATLAB MATLAB (an abbreviation of "MATrix LABoratory") is a proprietary multi-paradigm programming language and numeric computing environment developed by MathWorks. MATLAB allows matrix manipulations, plotting of functions and data, implementation ...

interfaces. Next to Mosel, Xpress connects to other standard modeling languages, such as

AIMMS AIMMS (acronym for Advanced Interactive Multidimensional Modeling System) is a prescriptive analytics software company with offices in the Netherlands, United States, China and Singapore. It has two main product offerings that provide modeling and ...

, AMPL, and GAMS. The FICO Xpress Executor"FICO Xpress Executor"
Nov 13, 2018. executes and deploys Mosel models, using

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or REST interfaces. It can be used from external applications or from th
FICO Decision Management Platform

References

{{Mathematical optimization software Numerical software Mathematical optimization software