Microsoft Solver Foundation: numerical optimization library (opens in new tab)

(solverfoundation.com)

18 pointsTriinT16y ago6 comments

6 comments

6 comments · 3 top-level

jhammerb16y ago· 2 in thread

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.

TriinTOP16y ago

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.

nathanbrixius16y ago

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

socratees16y ago· 1 in thread

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?

TriinTOP16y ago

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.

ct16y ago

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.

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6 comments

6 comments · 3 top-level

jhammerb16y ago· 2 in thread

TriinTOP16y ago

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

nathanbrixius16y ago

This is the guy from the hanselminutes interview...

Nathan

socratees16y ago· 1 in thread

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?

TriinTOP16y ago

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

ct16y ago

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