LP and QP solvers

[bobye]

Any suggestions about the use of LP and QP solver? Here is a list for consideration:

1. mosek
2. CPLEX
3. gurobi

I don't know exactly about their strength and weakness. I think mosek can be fast.
Any comments?

[robbwu]

I don't have any experience with them.

On Mon, Oct 27, 2014 at 7:26 AM, Jianbo Ye notifications@github.com wrote:

Any suggestions about the use of LP and QP solver? Here is a list for
consideration:

1. mosek
2. CPLEX
3. gurobi

I don't know exactly about their strength and weakness. I think mosek can
be fast.

—
Reply to this email directly or view it on GitHub
#2.

[bobye]

Let's do mosek.

[bobye]

both mosek and gurobi have supports for LP warm-start with simplex method, but don't support warm-start interior point (for many algorithmic reasons).

Warm-start QP can only work with active-set methods and variants, but active-set may suffer from scalability.

[bobye]

mosek comes with fast Simplex solver for transportation problem

[bobye]

removed try caching the LP solution for hot-start [descent method]