I'm working with C# and I start being bored writing optimization algorithm.
Do you know any free library containing this sort of algorithms?
In particular I'm currently working with Semidefit program.
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.Sign up to join this community
What I did was to compile a MATLAB algorithm and used the produced DLL.
UPDATE: I read yesterday in the Wilmott Magazine that the NAG Library is also available for .Net now. Again, I haven't used it and I don't know if you're looking for something open-source, but apparently this one is good.
You can use https://projects.coin-or.org/Clp
and in R
They all solve pure linear, integer and mixed problems
The GNU Scientific Library or GSL contains a few different varieties of optimizer. They work pretty well and have a relatively good interface. Their derivative-aware routines are a bit lacking in bounded optimization features compared to NAG, though.