FortMP-MEX
FortMP-MEX add-on to Matlab is a large scale optimisation solver system capable of solving large scale industrial applications ranging from supply chain to portfolio planning and asset liability management in finance. The system is designed to solve a wide range of well-known optimisation problems including: Large Scale Linear, Variable Separable, Mixed Integer, Quadratic, Quadratic Mixed Integer and Stochastic programming problems.
Linear programming problems are processed by SSX , Barrier or IPM. A powerful basis recovery (cross over) algorithm combines the speed of the IPM solution with the warm restart property of the SSX. Mixed integer programs are solved by applying a branch and bound tree search method. Activating cutting plane methods and integer pre-processing techniques will make FortMP-MEX highly competitive and effective for MIP Problems.
Matlab environment provides a platform for direct interaction with the solving capabilities of FortMP. A user can build a model in a regular M-file and invoke FortMP functions to obtain a solution. The software also supports the MPS file format. All solutions are transferred into the Matlab workspace and solver controls can be set either by simple command line arguments or by special solver control file called a spec file. Large scale models which could not be otherwise solved, can be processed by the Matlab optimisation toolbox.
Key Features
FortMP provides an industrial strength optimiser, which under the Matlab environment provide a versatile way of solving problems by offering various alternatives of specifying a problem. In addition it provides a powerful and desirable alternative for both large scale sparse models and for discrete (integer) decision models.
It will provide a very transparent means for Matlab users to interact with an industrial strength solver. In this way it will expliot a niche means for researchers and investors or all Matlab users in general who need to develop and solve complex problems in the comfort of the Matlab environment. The problems that can be solved include Integer Programming (IP), Mixed Integer Programming (MIP), Quadratic Programming (QP) and Quadratic Mixed Integer Programming (QMIP). These are not all currently supported in the existing Matlab solvers. MATLAB Key features include:
- Solve Large scale Linear Programming (LP) Problems using SSX and Barrier/IPM
- Solve Large Scale Mixed Integer Programming (MIP) Problems
- Solve Quadratic Programming (QP) Problems
- Solve Quadratic Mixed Integer Programming (QMIP) Problems
- Solve Stochastic Programming 2 stages recourse models
- Solve Stochastic Programming multistage recourse models
- Customisable Solver Control
- Used in Portfolio Optimisation and Asset Liability Management
Platforms
Supporting platforms
- MS Windows version: Windows 95, Windows NT, Windows 2000/XP
This new release offers the highest performance of modelling languages on the market today.
Since we are constantly working on new releases of AMPL COM, please contact OptiRisk Systems for updated information.
Installation
From Downloads
Download FortMP-MEXSetup.exe and run the file in your computer. Follow the online instruction to complete the installation.
From CD
Insert the CD into the CD ROM Drive. The setup program will start automatically. Follow the online instructions to complete the installation.
If auto start didn't work then double click the FortMP-MEXSetup.exe in the CD.
Example of Use
To see the of FortMP-MEX example of use please click here.