constrained nonlinear optimization in Microsoft Solver foundation vs Matlab fmincon

Question

can anyone show me examples or reviews for constrained nonlinear optimization in Microsoft Solver foundation 3.0? How\'s it compared to Matlab\'s fmincon? Or is there any better

Answer 1

I have recently ported Michael Powell's derivative-free codes COBYLA2 (non-linear objective function, non-linear constraints) and BOBYQA (non-linear objective function, variable bounds) to C#. When the optimization problem only contains variable bounds, the BOBYQA algorithm is substantially faster.

I have open-sourced both codes; you can find them on Github: cscobyla and csbobyqa.

If you prefer a derivative-based algorithm, I have also implemented an adapter to IPOPT. It is called csipopt and can be obtained from Github as well.

There is no Solver Foundation interface developed for any of these algorithms, and I cannot say how well they compare with fmincon (I am not a Matlab user myself) but hopefully the codes can be of some help in your optimization work.