Docket #: S86-042
LSSOL (TM)
LSSOL is a software package for solving constrained linear least-squares problems and convex quadratic programs (definite or semidefinite), including linear programs. Dense matrices are assumed throughout. LSSOL is recommended for QP problems whose objective includes a term of the form x'A'Ax for some matrix A (which may be rectangular, square or triangular). Linear constraints and bounds on the variables are treated separately by an active-set method. If the problem has no feasible solution, LSSOL minimizes the sum of the constraint and bound violations.
Applications
- General-purpose dense linear programming and quadratic programming.
- Statistics, Economics, Finance.
- Least-squares data fitting, Portfolio analysis.
- LSSOL is used as a subroutine inside NPSOL to solve a sequence of related quadratic programs, using warm starts.
Advantages
- Portable code (Fortran 77). Matlab interface included.
- Numerically stable algorithms.
- Warm start capability.
- Elastic bounds on variables and constraints (for infeasible problems).
Publications
- P. E. Gill, S. J. Hammarling, W. Murray, M. A. Saunders and M. H. Wright, User's Guide for LSSOL (Version 1.0): a Fortran package for constrained linear least-squares and convex quadratic programming, Report SOL 86-1, Systems Optimization Laboratory, Stanford University (1986).
Licensing Information:
Tier 1 and Tier 2 licenses for in-house use (academic and commercial respectively) are handled by SBSI:
Stanford Business Software, Inc.
2672 Bayshore Parkway, Suite 304
Mountain View, CA 94043
(650) 962-8719
(650) 962-1869 Fax
Ms Radhika Thapa, Manager, Software Distribution
sales@SBSI-SOL Optimize.com
Tier 3 agreements for applications involving resale of SOL software as part of a larger package are negotiated by OTL
(see below).
See SOL Optimization Software for an overview of available optimization packages.