The FICO Xpress Optimizer

The FICO Xpress Optimizer is a mathematical programming framework designed to provide high performance solving capabilities. Problems can be loaded into the Optimizer via matrix files such as MPS and LP files and/or constructed in memory and loaded using a variety of approaches via the library interface routines. Note that in most cases it is more convenient for the user to construct their problems using FICO Xpress Mosel or FICO Xpress BCL and then solve the problem using the interfaces provided by these packages to the Optimizer.

The solving algorithms provided with the Optimizer include the primal simplex, the dual simplex and the Newton barrier algorithms. For solving Mixed Integer Programs (MIPs) the Optimizer provides a powerful branch and bound framework. The various types of problems the Optimizer can solve are outlined in Chapter Problem Types.

Solution information can be exported to file using a variety of ASCII and binary formats or accessed via memory using the library interface. Advanced solution information, such as solution bases, can be both exported and imported either via files or via memory, using the library interface. Note that bases can be useful for so called 'warm–starting' the solving of Linear Programming (LP) problems.