Open Source Software

Open Source Solver Resources

Solvers are the basis for all optimization modeling. There are four major types, according to the type of problem that the particular software can solve:

  • Linear
  • Linear/quadratic
  • Linear integer, otherwise known as "mixed integer"
  • Non-linear
  • Non-linear integer

Most pricing problems in finance are either quadratic or nonlinear, so the non-linear solvers will be listed first.

Non-linear

  • Ipopt is an open source solver designed for constrained non-linear problems. It was originally written by Andreas Wachter while at IBM, and is currently released under the Eclipse Public License. It is probably the most robust of the available open source solvers.
  • Excel has a built-in non-linear integer solver, but it is limited to 300 variables; since some of these are used for internal variables that are not present in the spreadsheet as cells, the problems that it can handle are really pretty small, but it can be useful if your problem fits into 300 variables.

Linear, Integer and Quadratic

  • Clp is a linear solver that was written by John Forrest while at IBM, and is currently released under the Eclipse Public License. It is has a reputation as the most robust of the available open source solvers, and is considered to be competitive with commercial solvers for all but very large problems. It is unusual among open source linear solvers in that it can handle quadratic objective functions.
  • Cbc is a mixed integer solver that was written by John Forrest while at IBM, and is currently released under the Eclipse Public License. It is has a reputation as the most robust of the available open source solvers, and is considered to be competitive with commercial solvers for all but very large problems.
  • GLPK is a mixed integer solver written by Andrew O. Makhorin (Андрей Олегович Махорин) while at the Moscow Aviation Institute. It is widely used due to the inclusion of the GNU Linear Programming Language that is essentially a subset of the commercially available AMPL language. The modeling language is much slower than AMPL and does not allow order sets (among many other things), but it can be useful when you don't have an AMPL license available. It is significantly slower than commercial solvers, especially on integer programs.
  • lp_solve is a linear solver that was probably the first widely used open source solver and which has a reputation as being useful for problems larger than GLPK can handle, but smaller than Clp can handle.

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