Efficient free/open-source SOCP (second order cone programming) solvers [closed]

Question

I am looking for a recommendation (or comparison) of solvers for second order cone programming with regard to evaluation speed. The solver must be free for non-profit use or open source.

I am fairly open regarding the environment: stand-alone solutions, libraries, Matlab, Python, R, etc. are all acceptable.

My problem has significant sparsity in the constraints which I believe can be exploited by good solvers to speed up the calculation.

Answer 1

you might want to take a look to the benchmark maintained at

http://plato.la.asu.edu/bench.html

there you can find both SOCP and QP tests of various size. Most of the solvers would provide you with several interfaces, no issues on that. For a list of solvers look here

http://en.wikipedia.org/wiki/Second-order_cone_programming

I am not sure it is complete but you can start from here.

In my experience, for large size problems commercial solvers, as MOSEK and CPLEX, will give much better performances and stability, well of course I am biased as you might imagine given my username.

Remember that most of the commercial vendors nowadays can provide you either an academic or a trial license. This can be handy to tests and comparisons.

In my opinion, you may consider leaving to the user the choice on which solver to use. It is a little bit more work to do, but it gives much more flexibility to you and to the user. You can draw some inspiration here

Ipopt - COIN-OR Project: Cbc :

I suggest you to use a commercial solver to come up with a good formulation that such a solver can solve as fast as you want. This is then the ground to compare with others. If you have some nice large scale problems you need help with, you can contact us at mosek.com.

cbc: https://projects.coin-or.org/Cbc ipopt: https://projects.coin-or.org/Ipopt

I suggest you to use a commercial solver to come up with a good formulation that such a solver can solve as fast as you want. This is then the ground to compare with others. If you have some nice large scale problems you need help with, you can contact us at mosek.com.