Writing high performance code

Thanks for visiting! I’m in the process of moving my blog, and I am starting with my most popular posts. A revised version of this post can be found here.

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Solver Foundation on Hanselminutes

The latest edition of Scott Hanselman‘s Hanselminutes podcast features yours truly.  We talked about Solver Foundation, numerical optimization, and good old-fashioned code optimization.  Scott’s a great guy and doing the podcast was a lot of fun. Those of you new to Solver Foundation (or this blog) may be curious about what you can actually do…

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Controlling Simplex and IPM termination conditions

On our MSDN message board there was a question about how to control when the SimplexSolver aborts.  You can do this by providing an abort callback to the params object sent to the solver.  For example, to terminate after 100ms: private static void PetrochemLinearModel() { SimplexSolver solver = new SimplexSolver(); int sa, vz; solver.AddVariable(“SA”, out…

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Using Solver Foundation’s Unconstrained Nonlinear Solver

Hey, did you know that Solver Foundation can solve unconstrained nonlinear optimization problems?  Yep, it’s true.  Few people know about it because 1) we haven’t talked about it too much and 2) it is not accessible from the SFS (which means you can’t use OML or the Excel add-in to solve such problems).  To use…

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Announcing Solver Foundation 2.0

I’m pleased to announce the release of Solver Foundation 2.0, available at solverfoundation.com.  We’ve added capabilities that allow Solver Foundation to solve important categories of optimization problems, improved the performance and stability our existing solvers, and improved our Visual Studio and Office tools to make model building and analysis easier.  Here are a few of…

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Solver Foundation 2.0 Preview: Second Order Conic Programming

A couple of weeks ago I wrote about one of our big features for Solver Foundation 2.0: stochastic programming. In this post I want to talk about a new solver for 2.0: an interior-point solver for Second Order Conic Programming (SOCP). Second Order Conic Programming is the problem of minimizing a linear function where there…

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Using the Solver Foundation Interior Point Solver

I’ve had a few requests on this topic, so I thought I would give a simple example of how to write code against Solver Foundation’s interior point solver. If you are new to Solver Foundation, be warned that this is something of an “advanced topic”. The most complete, powerful Solver Foundation programming interface is Solver…

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Solver Foundation 2.0 Preview: F# ODSL

Lengning Liu has written a great post that highlights another exciting Solver Foundation 2.0 area: a Solver Foundation ODSL in F#.  (F# is a functional programming language for .Net.)  The ODSL provides an intuitive, cool way to express LP and MIP problems.  My favorite addition to the ODSL is units of measure.  Parameters and decisions can…

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