Version 2020 for Excel, Matlab, Java, .NET, COM, Win/Linux 2020 Plug-in Solver Engines User Guide For Analytic Solver Desktop, Analytic Solver Cloud and Solver SDK Platform Large-Scale LP/QP Solver Large-Scale GRG Solver Large-Scale SQP Solver Knitro Solver MOSEK Solver Gurobi Solver XPRESS Solver OptQuest Solver Copyright Large-Scale LP/QP Solver Engine 2019: Copyright © 2000-2019 by Frontline Systems, Inc. Portions copyright © 2000-2010 by International Business Machines Corp. and others. Large-Scale GRG Solver Engine 2019: Copyright © 2000-2019 by Frontline Systems, Inc.; Portions copyright © 2000-2004 by Optimal Methods, Inc. Large-Scale SQP Solver Engine 2019: Copyright © 2001-2019 by Frontline Systems, Inc.; Portions copyright © 1992-2007 by the Regents of the University of California and the Board of Trustees of Stanford University. Artelys Knitro Solver Engine 2019: Copyright © 2003-2019 by Frontline Systems, Inc.; Portions copyright © 2003-2015 Artelys; Portions copyright © 2001 Northwestern University. MOSEK Solver Engine 2019: Copyright © 2005-2019 by Frontline Systems, Inc.; Portions copyright © 1998-2015 by MOSEK ApS. Gurobi Solver Engine 2019: Copyright © 2009-2019 by Frontline Systems, Inc.; Portions copyright © 2008-2015 by Gurobi Optimization, Inc. XPRESS Solver Engine 2019: Copyright © 2000-2019 by Frontline Systems, Inc.; Portions copyright © 1984-2015 by FICO, Inc. OptQuest Solver Engine 2019: Copyright © 2000-2019 by Frontline Systems, Inc.; Portions copyright © 2000-2005 by OptTek Systems, Inc. This User Guide: Copyright © 2000-2019 by Frontline Systems, Inc. Neither the Software nor this User Guide may be copied, photocopied, reproduced, translated, or reduced to any electronic medium or machine-readable form without the express written consent of Frontline Systems, Inc., except as permitted by the Software License agreement below. Trademarks Frontline Solvers®, XLMiner®, Analytic Solver®, Risk Solver®, Premium Solver®, Solver SDK®, XLMiner SDK® and RASON® are trademarks of Frontline Systems, Inc. Windows and Excel are trademarks of Microsoft Corp. How to Order Contact Frontline Systems, Inc., P.O. Box 4288, Incline Village, NV 89450. Tel (775) 831-0300 • Fax (775) 831-0314 • Email [email protected] • Web http://www.solver.com Contents Start Here: 2020 Essentials viii Getting the Most from This User Guide ............................................................................. viii Installing Analytic Solver Cloud .......................................................................... viii Installing the Software ......................................................................................... viii Upgrading from Earlier Versions............................................................................ ix Finding the Examples ............................................................................................ ix Using Existing Models and Applications ................................................................ ix Using Existing VBA Macros .................................................................................. ix Choosing a Solver Engine ...................................................................................... ix Getting and Interpreting Results .............................................................................. x Using Solver Engine Options .................................................................................. x Programming the Solver Engines ............................................................................ x Using the Plug-in Solver Engines 11 Introduction ........................................................................................................................ 11 Using Solver Engines with Microsoft Excel........................................................... 11 Using Solver Engines with Solver SDK Platform .................................................. 11 Choosing the Best Plug-in Solver Engine ............................................................................ 12 Frontline's Large Scale Solver Engines .................................................................. 13 Summary Description of Each Solver Engine ...................................................................... 14 The Large-Scale LP/QP Solver.............................................................................. 14 The Large-Scale GRG Solver ................................................................................ 14 The Large-Scale SQP Solver ................................................................................. 15 The Artelys Knitro Solver ..................................................................................... 15 The MOSEK Solver .............................................................................................. 15 The Gurobi Solver ................................................................................................ 16 The XPRESS Solver ............................................................................................. 16 The OptQuest Solver............................................................................................. 16 Special Capabilities of the Solver Engines........................................................................... 16 Conic Optimization with Solver Engines ............................................................... 17 Robust Optimization with Solver Engines ............................................................. 17 Simulation Optimization with Solver Engines........................................................ 17 Global Optimization with Solver Engines .............................................................. 17 Analysis of Infeasible Problems ............................................................................ 18 Integer, Semi-Continuous, and Alldifferent Variables ............................................ 18 Standard and Solver Engine-Specific Reports ........................................................ 18 Programming the Solver Engines .......................................................................... 19 Using Your Excel Solver Model – Outside Excel................................................... 19 Installation and Licensing 20 What You Need .................................................................................................................. 20 Using the Solver Engines ...................................................................................... 21 Working with Licenses in Versions 2020 ............................................................................ 22 Analytic Solver - Licenses Tied to You, Not Your Computer ................................. 22 Solver Result Messages 24 If You Aren’t Getting the Solution You Expect ................................................................... 24 Standard Solver Result Messages........................................................................................ 25 Large-Scale GRG Solver Result Messages .......................................................................... 38 Large-Scale SQP Solver Result Messages ........................................................................... 39 Knitro Solver Result Messages ........................................................................................... 39 MOSEK Solver Result Messages ........................................................................................ 40 Gurobi Solver Result Messages .......................................................................................... 41 XPRESS Solver Result Messages ....................................................................................... 42 OptQuest Solver Result Messages....................................................................................... 43 Problems with Poorly Scaled Models .................................................................................. 43 Dealing with Poor Scaling .................................................................................... 44 The Integer Tolerance Option and Integer Constraints ......................................................... 44 Limitations on Non-Convex Optimization........................................................................... 45 Large-Scale GRG, SQP, and Knitro Solver Stopping Conditions ........................... 45 Limitations on Global Optimization .................................................................................... 46 Multistart Search with the Large-Scale GRG, SQP and Knitro Solvers................... 47 Large-Scale GRG, SQP and Knitro Solvers and Integer Constraints ....................... 48 Limitations on Non-Smooth Optimization........................................................................... 48 Effect on the Large-Scale GRG, SQP, and Knitro Solvers ..................................... 49 OptQuest Solver Solutions and Stopping Conditions ............................................. 50 Solver Engine Options 52 Setting Options Programmatically ...................................................................................... 52 Object-Oriented API ............................................................................................. 52 SDK Procedural API............................................................................................. 53 Common Solver Options .................................................................................................... 54 Max Time ............................................................................................................