The global solver in the LINDO API

Authors:
Youdong Lin;Linus Schrage
Affiliations:
Lindo Systems, Inc., Chicago, IL, USA;Lindo Systems, Inc., Chicago, IL, USA
Venue:
Optimization Methods & Software - GLOBAL OPTIMIZATION
Year:
2009

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Abstract

The global solver in the LINDO Application Programming Interface (LINDO API) finds guaranteed global optima to nonconvex, nonlinear and integer mathematical models using the branch and bound/relax approach. We describe (a) the class of problems for which it tends to be appropriate; (b) how to access it directly via the LINDO API or via various modelling language front ends; (c) heuristics used for finding good initial solutions; (d) methods for constructing easily solved relaxations; (e) branching rules for splitting a problem into more easily solved subproblems; and (f) some illustrative computational results.