FortMP is a software package for solving large-scale optimization

Optimization (mathematics)

In mathematics, computational science, or management science, mathematical optimization refers to the selection of a best element from some set of available alternatives....

 problems. It solves linear programming

Linear programming

Linear programming is a mathematical method for determining a way to achieve the best outcome in a given mathematical model for some list of requirements represented as linear relationships...

 problems, quadratic programming

Quadratic programming

Quadratic programming is a special type of mathematical optimization problem. It is the problem of optimizing a quadratic function of several variables subject to linear constraints on these variables....

 problems and mixed integer programming problems (both linear and quadratic). Its robustness has been explored and published in the Mathematical Programming journal.
FortMP is available as a standalone executable that accepts input in MPS format

MPS (format)

MPS is a file format for presenting and archiving linear programming and mixed integer programming problems.- Overview :...

 and as a library with interfaces in C and Fortran

Fortran

Fortran is a general-purpose, procedural, imperative programming language that is especially suited to numeric computation and scientific computing...

. It is also supported in the AMPL

AMPL

AMPL, an acronym for "A Mathematical Programming Language", is an algebraic modeling language for describing and solving high-complexity problems for large-scale mathematical computation AMPL, an acronym for "A Mathematical Programming Language", is an algebraic modeling language for describing and...

 modeling system.

The main algorithms implemented in FortMP are the primal and dual simplex algorithm

Simplex algorithm

In mathematical optimization, Dantzig's simplex algorithm is a popular algorithm for linear programming. The journal Computing in Science and Engineering listed it as one of the top 10 algorithms of the twentieth century....

s using sparse matrices

Sparse matrix

In the subfield of numerical analysis, a sparse matrix is a matrix populated primarily with zeros . The term itself was coined by Harry M. Markowitz....

. These are supplemented for large problems and quadratic programming problems by interior point methods. Mixed integer programming problems are solved using branch and bound

Branch and bound

Branch and bound is a general algorithm for finding optimal solutions of various optimization problems, especially in discrete and combinatorial optimization...

 algorithm.

External links

• OptiRisk Systems home page
• FortMP Overview
• FortMP home page
• FortMP is supported in the AMPL
  AMPL
  AMPL, an acronym for "A Mathematical Programming Language", is an algebraic modeling language for describing and solving high-complexity problems for large-scale mathematical computation AMPL, an acronym for "A Mathematical Programming Language", is an algebraic modeling language for describing and...
  
  modeling system