

Microsoft Solver Foundation: numerical optimization library - TriinT
http://solverfoundation.com/

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socratees
This should certainly be interesting. Did anyone with a quant background here
try the software yet? What are your thoughts? Do other similar software exist
in market right now?

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TriinT
I, too, would love to hear from someone who has tried this software. By the
way, I found an interview with Nathan Brixius, a senior developer working on
the Microsoft Solver Foundation library:

<http://hanselminutes.com/default.aspx?showID=209>

Regarding similar software, there's MOSEK and a bunch of others whose logos
show up on Solver Foundation's website. If you like to code in Python, there's
CVXOPT and CVXMOD. If you're into MATLAB, there's CVX and Yalmip.

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jhammerb
Excel has incorporated software from Frontline Systems, rebranded as "Solver",
for many years. Most heavy Excel users use it every day. I couldn't dig
through the marketing speak entirely, but this product appears to be a port of
Solver to C# and not open source. Of limited interest to HN readers, I'd
expect.

~~~
TriinT
I strongly disagree. This has _very_ little to do with Excel Solver. This
seems to be Microsoft's take at large-scale, real-world optimization problems,
possibly with millions of variables and constraints. Can you do that with
Excel? I doubt it. This _Solver Foundation_ framework can do Constraint
Programming, Quadratic Programming, and Mixed-Integer Programming. This is
serious optimization, not the kiddie stuff Excel users deal with. SF seems to
be based on commercial C++ solvers such as MOSEK.

I would say that open-source is not of great interest in optimization
software. The idea is to write as little code as possible, and to trust that
everything performance-critical has been optimized. Even speed is not the main
issue for me. I want something that is flexible. I want to write little code
because the less I write the less bugs there are. Correctness trumps
everything else.

If I am using SF to allocate investments, I want to make sure an optimal
solution is found, even if it takes a little longer. Computer time is cheap.
Buy a bigger computer. Developer time is more precious. There are only 24
hours in a day.

You want to change the source code? With all due respect, but I would
speculate that 99,9999% of HN users are not qualified to write numerical
optimization code. Looking at it is of little use unless you have a PhD in
Applied Math and years and years of experience.

Of limited use to HN readers? To those writing web-apps, perhaps. Those doing
Machine Learning will probably be ecstatic to find this.

~~~
nathanbrixius
This is the guy from the hanselminutes interview...

Solver Foundation is not a port of Excel Solver - it is a ground-up
implementation in managed code (C#). As TriinT said, the focus is on
addressing optimization problems that commonly occur in finance, engineering,
supply chain, etc. It's fair to say that there are things that Excel Solver
offers that Solver Foundation currently does not (e.g. nonlinear programming),
and things Solver Foundation offers that Excel Solver does not. In particular,
there is a roster of solvers that are all accessible from a consistent, .Net
friendly API.

It's not open source, but there is a solver plug-in model which allows you to
use other solvers in place of the ones supplied by our team. In particular,
open-source solvers such as lp_solve are supported.

Nathan

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ct
Thanks for the link. Been looking for something to learn and try trading
algorithms in. We use a CPLEX solver library from IBM at work but it's not
used for trading but for optimizing a different set of constraints.
Interesting to see MS has a solution as well.

