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I am dealing with optimization of functions for which I do not have derivatives available, and the optimization is not constrained. I am searching for a high quality GNU Public License-compatible optimization library compatible with the C++ language. So far I have managed to find OPT++.

Can someone recommend this or some other library?

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    $\begingroup$ Why are you restricting yourself to C++ and GPL? Does the library merely need to be compatible with C++ and GPL licensing? I can't think of a good reason for restricting yourself in this search. $\endgroup$ – Aron Ahmadia Jul 31 '12 at 11:31
  • $\begingroup$ @Aron Ahmadia: I need to couple it with OpenFOAM, which is GPL based and written in C++. An alternative would be a library written in another language that has a C++ wrapper layer. $\endgroup$ – tmaric Jul 31 '12 at 12:30
  • $\begingroup$ Okay, please update your question since you are looking for a library that is GPL-compatible and easy to interface with C++ (this is almost always done through C bindings, which C++, unsurprisingly, provides). $\endgroup$ – Aron Ahmadia Jul 31 '12 at 13:31
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OPT++ is used internally by Dakota (Sandia), which is much more than an optimization library and is released under the LGPL. You should also take a look at TAO (ANL), released under a BSD-like license. An introduction to both OPT++ and TAO can be found here. Other alternatives are MOOCHO, NOMAD, and HOPSPACK, which are, as far as I know, also LGPL licensed.

Both Sandia and ANL offer automatic differentiation packages, like Sacado and ADIFOR/ADIC, that should play well with their general purpose numerical libraries Trilinos/PETSc.

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The library NLopt meets your requirements. I have used it in the past and I am satisfied with its interface and results.

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  • $\begingroup$ Is there similar library with the ability to run in parallel? $\endgroup$ – Alexander Aug 5 '12 at 18:01
  • $\begingroup$ I don't know of any such library. With NLopt it is possible to parallelize the evaluation of constraints (see ab-initio.mit.edu/wiki/index.php/… ) but I don't know if there are any plans for implementing parallelism at the objective function evaluation level. $\endgroup$ – Juan M. Bello-Rivas Aug 5 '12 at 18:26

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