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.


I haven't had the time to try them personally, but if I were you I'd try The Solver Foundation or maybe you can find something useful within these libraries.

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.

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    $\begingroup$ NAG is not free. Very good and lots of value for the price, though. $\endgroup$ – quant_dev Apr 14 '11 at 21:33
  • $\begingroup$ @quant_dev: Do you know how much it costs for .Net? I couldn't find an answer on the site. $\endgroup$ – SRKX Sep 30 '11 at 14:58
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    $\begingroup$ They don't have a fixed price. Call them. It depends on the number of cores it would be used on. $\endgroup$ – quant_dev Oct 2 '11 at 11:22

You can use https://projects.coin-or.org/Clp

Other options:
and in R

They all solve pure linear, integer and mixed problems

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    $\begingroup$ I heard Coin is very good. $\endgroup$ – quant_dev Apr 14 '11 at 21:32
  • $\begingroup$ Hmmm. the R libraries are not very easy to use from C#... $\endgroup$ – SRKX Apr 15 '11 at 13:15

You can also have a look at ALGLIB or DotNumerics.

It would help though if you clarified what kind of optimization problem you have or what kind of algorithm you look for. And if by free you mean GPL or something more like MIT?

  • $\begingroup$ As said I'm currently working with semiefit program which can be solved by interior point methods. By free I mean free and usable on windows. $\endgroup$ – Zarbouzou Apr 14 '11 at 8:59
  • $\begingroup$ Then I assume you mean free as in free beer. ;-) $\endgroup$ – Karol J. Piczak Apr 14 '11 at 9:07
  • $\begingroup$ The OP probably doesn't want to pollute the code license with GPL. $\endgroup$ – quant_dev Apr 14 '11 at 21:32
  • $\begingroup$ In that case I'm afraid I don't know of any free, non-GPL, explicitly C# solutions. $\endgroup$ – Karol J. Piczak Apr 14 '11 at 21:39

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.

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    $\begingroup$ GSL has no constrained nonlinear optimizers which use derivatives. $\endgroup$ – quant_dev Apr 14 '11 at 21:31

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