Features

New in Version 5.2

• Energy (management of distribution networks, optimal plant operations, revenue and risk management, and strategic pricing)
• Finance (option pricing; portfolio optimization; optimal pricing; risk management; credit risk; strategic bidding and auctions, including Nash equilibrium, demand optimization, and nonlinear least-squares data fitting; volatility estimation; asset-liability management; and index tracking)
• Manufacturing (CAD, optimal computer chip layout, and transportation networks)
• Many other difficult, large-scale nonlinear problems

General Features

• Solves large-scale general nonlinear programming (NLP) problems (continuous variables, smooth functions).
• Solves large-scale linear programming (LP) problems.
• Solves large-scale quadratic programming (QP) problems, both convex and nonconvex.
• Solves large-scale nonlinear least squares problems, and nonlinear systems of equations.
• Provides two state-of-the-art optimizer algorithms: interior-point (barrier) and active-set.
• Solves small or large optimization problems efficiently and robustly:
  • Rapidly converges to a high-precision local solution using Newton-based methods.
  • Computes analytic derivatives from Mathematica's symbolic problem definition.
  • Linear algebra operations choose between iterative (conjugate gradient) and direct (sparse factorization) methods.
• Provides special options for difficult or unusual problems:
  • Can require that every iterate remains feasible with respect to all inequality constraints.
  • Can cross over from the interior-point algorithm to the active-set one for final determination of a vertex solution.
• Offers several choices for high-precision Newton-based solution methods:
  • Solve with Mathematica's analytic second derivatives.
  • Solve with finite difference approximation of second derivatives.
  • Solve with dense quasi-Newton approximations (BFGS and SR1).
  • Solve with limited-memory quasi-Newton approximation (L-BFGS).
  • Select your own starting point or let KNITRO for Mathematica compute one for you.