Solver DLL V3.0 Features Nonlinear Optimization

Spreadsheet Solver "Engines" Make Optimization Easy to Use in Custom Applications

To download the Solver DLL V3.0 Evaluation Kit, click here to sign up (free of charge) for Frontline's Private Web for Solver Users. Then click on Download, scroll to the bottom and follow the link to Download Evaluation Kit for Solver DLL Version 3.0.

Frontline Systems is now shipping the Small-Scale Solver DLL Version 3.0, with a wide array of new features including the first-ever standard Windows DLL for nonlinear constrained optimization, callable directly from languages like Visual Basic. A free Solver DLL Evaluation is available for download from Frontline’s Web site.

This means that you can create custom programs that include powerful optimization capabilities like those in Frontline’s Premium Solvers for Microsoft Excel, and deliver them to your own users (with a license from Frontline Systems).

If you’ve been solving nonlinear optimization problems in Excel which take a long time to solve, you may find that rewriting your model in Visual Basic or VBA and calling the Solver DLL can be as much as 10 to 100 times faster!

Includes Linear, Quadratic, Nonlinear, Mixed-Integer Solvers

The Solver DLL V3.0 comes in five different configurations which support just the optimization capabilities you need: The linear (Simplex) Solver, the quadratic Solver – often used for portfolio optimization problems, and the nonlinear (GRG or Generalized Reduce Gradient) Solver. All versions also also mixed-integer problems with a Branch & Bound method that can use the linear, quadratic, or nonlinear Solver for its subproblems.

The linear and quadratic Solvers handle up to 800 decision variables, with no limit on constraints. The nonlinear Solver handles up to 400 decision variables, and up to 200 constraints in addition to bounds on the variables. A new Solver DLL API call allows your application to discover at runtime the capabilities and size limits of the DLL version you are using.

Easier Way to Define Your Problem in Code

Unlike the linear and quadratic Solvers, where your problem can (and must) be described with a matrix of constant coefficients for the objective and constraints, the nonlinear Solver is designed to handle any (smooth or continuous) function that you can write in code. To define your problem for the nonlinear Solver, you write a "callback" function in the language of your choice, which computes values for the objective and the left hand sides of constraints given values for the decision variables. The Solver DLL does the rest – including estimating partial derivatives (rates of change for your smooth functions) and seeking first a feasible, then an optimal solution.

New Features to Diagnose Linearity and Feasibility

Also included in the Solver DLL V3.0 are new features to diagnose linearity and feasibility of user-written models. The nonlinear Solver can determine, through a numerical test, whether the objective and each constraint is a linear or nonlinear function of the variables. If a problem is found to be entirely linear, this test also provides all the information needed by your application to solve the problem with the linear (Simplex method) Solver.

When either the linear or nonlinear Solver determines that a problem has no feasible solution, you can call new diagnostic routines to pinpoint the infeasibility by computing an "Irreducibly Infeasible Subset" (IIS) of the constraints. An IIS is a set of constraints that has no feasible solution, but if any one constraint is dropped from the set, a feasible solution can be found. If there is a mistake in formulation of a constraint or a conflict between constraints in a large problem, these diagnostic routines make it much easier to isolate the problem.

Example Programs in Visual Basic, Delphi Pascal, C/C++, FORTRAN

The free Solver DLL V3.0 Evaluation Kit includes a comprehensive, 114-page User Guide in Windows Help file format, and source code for example programs calling the Solver DLL from Visual Basic, Delphi Pascal, C/C++ and FORTRAN. Eight different examples written in both C/C++ and Visual Basic show how to use the Solver DLL to solve linear and nonlinear problems, diagnose linearity and feasibility, and exercise many other DLL features. A complete portfolio optimization example is included, which finds an efficient portfolio of five securities based on their returns, variances and covariances.

Aggressively Priced Runtime Licenses for Your Application

Depending on the configuration of Solver "engines" you choose, your first (development) copy of the Solver DLL will be priced from $495 to $1,500. Once you sign a "Value Added Reseller Agreement" with Frontline Systems, you can obtain runtime licenses at very deep discounts from these prices. We’ve already met the runtime license needs of users who are distributing anywhere from 5 to 5,000 copies, as well as "OEM" customers who are distributing hundreds of thousands to millions of copies. For more information, contact Peter Terry at (775) 831-0300 or by email at pterry@frontsys.com.

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Last modified: June 24, 2004