Artelys Knitro 11: New SOCP algorithm!

5 July 2018

— Artelys Knitro 11 release comes with many new features including a specialized algorithm for Second-Order Cone Programming (SOCP).

This version comes with a redesign of the C API improving flexibility when manipulating your models. The user can directly provide the constraint structure (e.g. linear, quadratic, quadratic conic) to the solver without using callback functions. It is also possible to provide derivatives for only a subset of the model, Knitro being able to automatically approximate the missing derivatives.

Artelys Knitro intègre désormais une spécialisation algorithmique permettant de gérer efficacement les contraintes quadratiques coniques, présentes dans les modèles SOCP que l’on retrouve dans de nombreuses applications (l’économie, la physique, la finance …). Cette évolution majeure pour les problèmes SOCP s’accompagne d’une amélioration notable des performances sur les problèmes QCQP.

Other features

• CG preconditioning now available for all classes of problems
• New parallel linear solvers (HSL MA86 and MA97) allowing speedups on large scale problems
• The Knitro R interface is now open source
• Several enhancements of the MINLP and active-set algorithms
• General performance improvements in particular for convex problems

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