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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.

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4 Answers 4

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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
    Commented Apr 14, 2011 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
    Commented Sep 30, 2011 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
    Commented Oct 2, 2011 at 11:22
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You can use https://projects.coin-or.org/Clp

Other options:
http://sourceforge.net/projects/lpsolve/
and in R
http://cran.r-project.org/web/packages/lpSolve/index.html

They all solve pure linear, integer and mixed problems

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    $\begingroup$ I heard Coin is very good. $\endgroup$
    – quant_dev
    Commented Apr 14, 2011 at 21:32
  • $\begingroup$ Hmmm. the R libraries are not very easy to use from C#... $\endgroup$
    – SRKX
    Commented Apr 15, 2011 at 13:15
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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?

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  • $\begingroup$ 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
    Commented Apr 14, 2011 at 8:59
  • $\begingroup$ Then I assume you mean free as in free beer. ;-) $\endgroup$ Commented Apr 14, 2011 at 9:07
  • $\begingroup$ The OP probably doesn't want to pollute the code license with GPL. $\endgroup$
    – quant_dev
    Commented Apr 14, 2011 at 21:32
  • $\begingroup$ In that case I'm afraid I don't know of any free, non-GPL, explicitly C# solutions. $\endgroup$ Commented Apr 14, 2011 at 21:39
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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
    Commented Apr 14, 2011 at 21:31

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