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Comparison of optimization software
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Given a system transforming a set of inputs to output values, described by a mathematical function f, optimization refers to the generation and selection of the best solution from some set of available alternatives, by systematically choosing input values from within an allowed set, computing the value of the function, and recording the best value found during the process. Many real-world and theoretical problems may be modeled in this general framework. For example, the inputs can be design parameters of a motor while the output can be the power consumption. Other inputs can be business choices with the output being obtained profit. or describing the configuration of a physical system with the output being its energy.

An optimization problem can be represented in the following way

Given: a function f : A → {\displaystyle \to } R from some set A to the real numbers Search for: an element x0 in A such that f(x0) ≤ f(x) for all x in A ("minimization").

Typically, A is some subset of the Euclidean space Rn, often specified by a set of constraints, equalities or inequalities that the members of A have to satisfy. Maximization can be reduced to minimization by multiplying the function by minus one.

The use of optimization software requires that the function f is defined in a suitable programming language and linked to the optimization software. The optimization software will deliver input values in A, the software module realizing f will deliver the computed value f(x). In this manner, a clear separation of concerns is obtained: different optimization software modules can be easily tested on the same function f, or a given optimization software can be used for different functions f.

The following tables provide a comparison of notable optimization software libraries, either specialized or general purpose libraries with significant optimization coverage.

NameProgramming languageLatest stable versionAcademic/noncommercialuse is freeCan be used inproprietary appsLicenseNotes
ALGLIBC++, C#, Python, FreePascal3.19.0 / June 2022YesYesDual (Commercial, GPL)General purpose library, includes optimization package: linear, quadratic, nonlinear programming.
AMPLC, C++, C#, Python, Java, Matlab, ROctober 2018YesYesDual (Commercial, academic)A popular algebraic modeling language for linear, mixed-integer and nonlinear optimization. Student and AMPL for courses versions are available for free.
APMonitorFortran, C++, Python, Matlab, Julia0.6.2 / March 2016YesYesDual (Commercial, academic)A differential and algebraic modeling language for mixed-integer and nonlinear optimization. Freely available interfaces for Matlab, Python, and Julia.
Artelys KnitroC, C++, C#, Python, Java, Julia, Matlab, R11.1 / November 2018NoYesCommercial, Academic, TrialGeneral purpose library, specialized in nonlinear optimization. Handles mixed-integer problems (MINLP) and mathematical programs with equilibrium constraints (MPEC). Specialized algorithms for nonlinear least squares problems.
CPLEXC, C++, Java, C#, Python, R20.1 / Dec 2020YesYesCommercial, academic, trialIBM CPLEX Optimization Studio is a suite of optimization engines (CPLEX for Mathematical Programming, and CP Optimizer for Constraint programming), a modeling language (OPL), and an Integrated Development Environment.
FICO XpressMosel, BCL, C, C++, Java, R, Python, Matlab, .Net, VB68.13 / Nov 2021YesYesCommercial, academic, community, trialSuite of Optimization Technologies and Solutions. Includes: Solver technologies including (LP (Simplex & Barrier), MIP, MIQP, MIQCQP, MISOCP, MINLP QP, QCQP, SOCP, NLP (SLP & Interior Point); An algebraic modelling and procedural programming language; an Integrated Development Environment; Supports for a range of execution services; Support for packaging of optimization models and services as software solutions
GEKKOPython0.2.8 / August 2020YesYesDual (Commercial, academic)GEKKO is a Python package for machine learning and optimization of mixed-integer and differential algebraic equations. It is coupled with large-scale solvers for linear, quadratic, nonlinear, and mixed integer programming (LP, QP, NLP, MILP, MINLP). Modes of operation include parameter regression, data reconciliation, real-time optimization, dynamic simulation, and nonlinear predictive control.
GNU Linear Programming KitC4.52 / July 2013YesNoGPLFree library for linear programming (LP) and mixed integer programming (MIP).
GNU Scientific LibraryC1.16 / July 2013YesNoGPLFree library provided by GNU project.
IMSL Numerical LibrariesC, Java, C#, Fortran, Pythonmany componentsNoYesProprietary
LIONsolverC++, Java2.0.198 / October 2011YesYesProprietarySupport for interactive and learning optimization,

according to RSO principles.

Math Kernel Library (MKL)C++, Fortran11.1 / October 2013NoYesProprietaryNumerical library from Intel. MKL is specialized on linear algebra,but contains some optimization-related functionality.
Wolfram MathematicaC++, Wolfram Language14.2.0 (January 23, 2025; 2 months ago (2025-01-23)) [±]NoYesProprietaryConstrained nonlinear optimization, interior point methods, convex optimization and integer programming-as well as original symbolic methods integrated with general computational capabilities.
MIDACOC++, C#, Python, Matlab, Octave, Fortran, R, Java, Excel, VBA, Julia6.0 / Mar 2018YesYesDual (Commercial, academic)Lightweight software tool for single- and multi-objective optimization. Supporting MINLP and parallelization.
NAG Numerical LibrariesC, FortranMark 26 / October 2017NoYesProprietary
NMathC#5.3 / May 2013NoYesProprietaryC# numerical library built on top of MKL.
Octeract EngineC++/Python0.11.29 / November 2019NoYesCommercialSupercomputing deterministic global optimization solver for general MINLP problems. Octeract Engine uses MPI for distributed calculations.
OptaPlannerJava8.0.0.Final / November 2020YesYesASL (open source)Lightweight optimization solver in Java, with optional integration modules for JPA-Hibernate, Quarkus, Spring, Jackson, JAXB, etc. Works on Kotlin and Scala too.
SciPyPython0.13.1 / November 2013YesYesBSDGeneral purpose numerical and scientific computing library for Python.

See also

References

  1. "The Nature of Mathematical Programming," Mathematical Programming Glossary, INFORMS Computing Society. http://glossary.computing.society.informs.org/ver2/mpgwiki/index.php?title=Extra:Mathematical_programming

  2. Battiti, Roberto; Mauro Brunato; Franco Mascia (2008). Reactive Search and Intelligent Optimization. Springer Verlag. ISBN 978-0-387-09623-0. 978-0-387-09623-0

  3. "Launching Version 14.2 of Wolfram Language & Mathematica: Big Data Meets Computation & AI". Retrieved 2025-01-23. https://writings.stephenwolfram.com/2025/01/launching-version-14-2-of-wolfram-language-mathematica-big-data-meets-computation-ai/