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I am using CPLEX for solving huge optimization models (more than 100k variables) now I'd like to see if I can find an open source alternative, I solve mixed integer problems (MILP) and CPLEX works great but it is very expensive if we want to scale so I really need to find an alternative or start writing our own ad-hoc optimization library (which will be painful)
Any suggestion/insight would be much appreciated
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CPLEX is easier for academics in terms of the license. It is also said to be very high in performance. But Gurobi is claimed to be the fastest solver in recent years, with continuous improvements. However, it is said that its performance decreases when the number of constraints increases.
In this paper we discuss the software framework and solver SCIP (Solving Constraint Integer Programs), which is free for academic and non-commercial use and can be downloaded in source code.
GLPK is unable to match the performance (or price) of the top commercial solvers for very-large scale instances. To give just one example, CPLEX can be expected to be 10–100× faster for dual simplex problems. More specific comparisons can be made by reviewing a selection of the current benchmarking surveys.
In PuLP, the default solver is CBC, but it can work with other solvers as well.
I personally found GLPK better (i.e. faster) than LP_SOLVE. It supports various file formats, and a further advantage is its library interface, which allows smooth integration with your application.
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