Practical Optimization with the TOMLAB Environment in Matlab Professor Kenneth Holmström Applied Optimization and Modeling Group ( TOM ) Center for Mathematical Modeling

The TOMLAB /SOL v3.0 optimization environment is a powerful optimization tool in Matlab, which incooperates many results from the last 40 years of research in the field. More than 65 different algorithms for linear, discrete, global and nonlinear optimization are implemented in Matlab, and 14 Fortran solvers are integrated with the use of MEX file interfaces. It has been developed in cooperation with the SOL group at Stanford and UC San Diego and includes the SOL solvers SNOPT, NPSOL, MINOS, SQOPT, NLSSOL, QPOPT, LPOPT and LSQR. TOMLAB is available on Windows, Linux, SGI, HP, MAC, DEC and SUN systems. This paper discusses the design and contents of TOMLAB, and some examples of its usage on practical real-life optimization problems. We emphasize the great importantance of using high-quality numerical software in the solution process of optimization problems. Global optimization methods are discussed, and the way they easily may be combined with local optimization methods to solve practical industrial and financial simulation and optimization problems. More information on TOMLAB is available at the TOMLAB home page URL: http://www.tomlab.net. A 200 page User’s Guide is available for download, together with demonstration versions of v3.0 /SOL, as well as v3.0 and v3.0 /MINI, which include a subset of the SOL solvers.

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