FICO Xpress

Last updated
FICO Xpress
Developer(s) FICO
Initial release1983;42 years ago (1983)
Stable release
9.5 [1]
Platform Cross-platform
Type Operations Research, Mathematical optimization
License Proprietary
Website www.fico.com/en/products/fico-xpress-optimization

The FICO Xpress optimizer is a commercial optimization solver for linear programming (LP), mixed integer linear programming (MILP), convex quadratic programming (QP), convex quadratically constrained quadratic programming (QCQP), second-order cone programming (SOCP) and their mixed integer counterparts. [2] Xpress includes a general purpose nonlinear global solver, Xpress Global, and a nonlinear local solver, Xpress NonLinear, including a successive linear programming algorithm (SLP, first-order method), and Artelys Knitro (second-order methods).

Xpress was originally developed by Dash Optimization, and was acquired by FICO in 2008. [3] Its initial authors were Bob Daniel and Robert Ashford. The first version of Xpress could only solve LPs; support for MIPs was added in 1986. Being released in 1983, Xpress was the first commercial LP and MIP solver running on PCs. [4] In 1992, an Xpress version for parallel computing was published, which was extended to distributed computing five years later. [5] Xpress was the first MIP solver to cross the billion matrix non-zero threshold by introducing 64-bit indexing in 2010. [6] Since 2014, Xpress features the first commercial implementation of a parallel dual simplex method. [2] In 2022, Xpress was the first commercial MIP solver to introduce the possibility of solving nonconvex nonlinear problems to proven global optimality. [7]

Technology

Linear and quadratic programs can be solved via the primal simplex method, the dual simplex method, or the barrier interior point method. For linear programs, Xpress further implements a primal-dual hybrid gradient algorithm. All mixed integer programming variants as well as nonconvex continuous problems are solved by a combination of the branch and bound method and the cutting-plane method. Infeasible problems can be analyzed via the IIS (irreducible infeasible subset) method. Xpress provides a built-in tuner for automatic tuning of control settings. [1] Xpress includes its modelling language Xpress Mosel [8] and the integrated development environment Xpress Workbench. [9] Mosel includes distributed computing features to solve multiple scenarios of an optimization problem in parallel. Uncertainty in the input data can be handled via robust optimization methods. [10]

Xpress has a modeling module called BCL (Builder Component Library) that interfaces to the C, C++, Java programming languages, and to the .NET Framework. [11] Independent of BCL, there are Python and MATLAB interfaces. Next to Mosel, Xpress connects to other standard modeling languages, such as AIMMS, AMPL, and GAMS.

The FICO Xpress Executor [12] executes and deploys Mosel models, using SOAP or REST interfaces. It can be used from external applications or from the FICO Decision Management Platform.

References

  1. 1 2 "FICO Xpress Optimization".
  2. 1 2 Berthold, T.; Farmer, J.; Heinz, S.; Perregaard, M. (15 Jun 2017). "Parallelization of the FICO Xpress-Optimizer". Optimization Methods and Software. 33 (3): 518–529. doi:10.1080/10556788.2017.1333612.
  3. ↑ "Dash Optimization acquired by FICO" Jan 22, 2008.
  4. ↑ Ashford, R. (Feb 2007). "Mixed integer programming: A historical perspective with Xpress-MP". Annals of Operations Research. 149 (1): 5–17. doi:10.1007/s10479-006-0092-x.
  5. ↑ Laundy, R. (1999). "Implementation of Parallel Branch-and-bound Algorithms in XPRESS-MP". pp. 25–41. doi:10.1057/9780230372924_2. ISBN   9780230372924.{{cite book}}: |journal= ignored (help); Missing or empty |title= (help)
  6. ↑ O. Bastert (2011). FICO Xpress Optimization Suite (PDF) (Report). Retrieved Jan 23, 2019.
  7. ↑ "FICO Xpress Global (beta): A global solver for a nonlinear world" Dec 21, 2022.
  8. ↑ Guéret, Christelle; Prins, Christian; Sevaux, Marc (2002). Applications of Optimization with Xpress-MP. Dash Optimization Limited. ISBN   9780954350307.
  9. ↑ "FICO Xpress Workbench". Nov 12, 2017.
  10. ↑ P. Belotti (2014). Robust Optimization with Xpress (PDF) (Report). Retrieved Oct 28, 2018.
  11. ↑ "BCL Reference Manual" Nov 13, 2018.
  12. ↑ "FICO Xpress Executor" Nov 13, 2018.
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