This morning I stumbled across Microsoft Solver Foundation, optimization software developed in C#. The site only mentions a free “express edition.” Sounds like they’re releasing a free version first and may sell an upgrade in the future.
Here are the details of the algorithms supported.
- Revised, Simplex Linear and Mixed Integer Programming (Primal and Dual Simplex)
- Interior Point Method Linear and Quadratic Programming
- Constraint Programming with Exhaustive Tree Search, Local Search, and Metaheuristic Techniques
- Compact, Quasi-Newton (L-BFGS), Unconstrained Nonlinear Programming
Microsoft is inconsistent in its support for numerical computing. For example, Visual Studio’s math.h implementation does not include the mathematical functions that are included in POSIX systems. And their implementation of C++ TR1 does not yet include the specified mathematical functions. On the other hand, they have produced products like Windows HPC Server and Solver Foundation. Clearly some people at Microsoft care about numerical computing.