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Would you recommend any convex optim libraries ?

Ideally opensource. A priori for semidefinite programming and QCQP.

(I intend to use it with fsharp but any dotnet would do)

nicolas
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    http://social.msdn.microsoft.com/Forums/en/csharpgeneral/thread/abfd6945-442e-4c56-8ce0-65c0c2748845 – Daniel Feb 16 '12 at 18:03
  • You should have posted that as an answer @Daniel – Onorio Catenacci Feb 16 '12 at 18:13
  • @ildjarn : convex optimization is quite specific. from what I saw, there aren't so many libraries providing it, so SO wont be flooded by vendors on this, – nicolas Feb 16 '12 at 18:17
  • That doesn't make it any less off-topic. ;-] – ildjarn Feb 16 '12 at 18:17
  • @ildjam would you recommend a place where I can inquire on the subject of finding a good quadratic programming library ? – nicolas Feb 16 '12 at 18:24
  • [Programmers.SE](http://programmers.stackexchange.com) would be a step in the right direction. :-] – ildjarn Feb 16 '12 at 18:32
  • what would be the best destination ? and why is that more off-topic than http://stackoverflow.com/questions/6426/graphing-javascript-library ? you are probably right but I just dont see why – nicolas Feb 16 '12 at 18:38
  • http://blog.stackoverflow.com/2010/11/qa-is-hard-lets-go-shopping/ – ildjarn Feb 16 '12 at 18:41
  • indeed, the link makes sense. but if there was libraries of CO shipped as frequently as there are 'Canon S90 and Lumix LX3' updates, I probably would not even bother asking – nicolas Feb 16 '12 at 18:52
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    @nicolas: I would recommend [Solver Foundation](http://msdn.microsoft.com/en-us/library/ff524509(v=vs.93).aspx). They have developed a domain specific language for optimization using F# quotations. It is extremely convenient if you use F#. – pad Feb 16 '12 at 18:55
  • Hi pad this one seems to have cvx opt indeed! I did not know msft had a solver like that...I am looking its capacities – nicolas Feb 16 '12 at 21:41
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    @nicolas: Yes, they have. For getting started with F# and Solver Foundation, take a look at [this question](http://stackoverflow.com/questions/6318609/constrained-nonlinear-optimization-in-microsoft-solver-foundation-vs-matlab-fmin) and [this blog post](http://strangelights.com/blog/archive/2008/09/21/1628.aspx). – pad Feb 16 '12 at 21:58

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Solver Foundation, a .Net runtime for mathematical programming, modeling, and optimization from Microsoft, probably provides what you want.

They also have Optimization Modeling Language which allows to model optimization problems in a declarative way. This way of modeling is really attractive when combining with expressiveness of functional programming languages like F#.

To get a feeling of using Solver Foundation with F#, take a look at these interesting blog posts:

pad
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