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What is LSO-MAX?

The Large-Scale Optimizerâ„¢ is a joint effort by Michael Best, a Professor Emeritus at the University of Waterloo's Department of Combinatorics and Optimization, and Jivendra Kale, the President of Financiometrics Inc. This innovative quadratic optimizer is tailored for the rapid development of long-only, long-short, and market-neutral portfolios, accommodating thousands of assets to facilitate effective risk management against a benchmark portfolio. Furthermore, it functions as an asset allocation tool grounded in the principles of Markowitz mean-variance analysis. The unrestricted edition of the Large-Scale Optimizerâ„¢ can be obtained as either an application or a subroutine library for seamless integration into existing software systems. By utilizing a sophisticated active set method enhanced by penalty function techniques, the Large-Scale Optimizerâ„¢ significantly accelerates the process of achieving a true global optimal solution for complex, real-world portfolio optimization problems, even in the presence of variable transaction costs. This distinctive feature establishes it as an invaluable resource for financial analysts and portfolio managers striving to refine their investment strategies with efficiency and precision, making it a standout option for those committed to maximizing their financial outcomes.

What is Artelys Knitro?

Artelys Knitro is recognized as an exceptional solver specifically designed for complex nonlinear optimization problems, offering a wide range of advanced algorithms and features to address challenging issues across various industries. The solver includes four state-of-the-art algorithms: two interior-point/barrier methods and two active-set/sequential quadratic programming methods, ensuring effective and dependable solutions to a multitude of optimization challenges. In addition, Knitro encompasses three unique algorithms focused on mixed-integer nonlinear programming, which employ heuristics, cutting planes, and branching strategies to effectively handle discrete variables. A key highlight of the solver is its parallel multi-start functionality, which aids in achieving global optimization, alongside automated and parallel tuning of options that optimize performance. Intelligent initialization techniques are also integrated, enabling prompt detection of infeasibility in complex scenarios. Knitro's versatility is further enhanced by its compatibility with various interfaces, including object-oriented APIs for popular programming languages such as C++, C#, Java, and Python, making it readily accessible for developers. In essence, the development of Knitro underscores a dedication to delivering robust solutions tailored to the intricacies of contemporary optimization challenges, while constantly evolving to meet the demands of its users.

Media

Media

Integrations Supported

AIMMS
AMPL
C#
C++
GAMS
Java
Julia
MATLAB
Microsoft Excel
Python
R

Integrations Supported

AIMMS
AMPL
C#
C++
GAMS
Java
Julia
MATLAB
Microsoft Excel
Python
R

API Availability

Has API

API Availability

Has API

Pricing Information

Pricing not provided.
Free Trial Offered?
Free Version

Pricing Information

Pricing not provided.
Free Trial Offered?
Free Version

Supported Platforms

SaaS
Android
iPhone
iPad
Windows
Mac
On-Prem
Chromebook
Linux

Supported Platforms

SaaS
Android
iPhone
iPad
Windows
Mac
On-Prem
Chromebook
Linux

Customer Service / Support

Standard Support
24 Hour Support
Web-Based Support

Customer Service / Support

Standard Support
24 Hour Support
Web-Based Support

Training Options

Documentation Hub
Webinars
Online Training
On-Site Training

Training Options

Documentation Hub
Webinars
Online Training
On-Site Training

Company Facts

Organization Name

Financiometrics

Company Website

www.financiometrics.com

Company Facts

Organization Name

Artelys

Date Founded

2000

Company Location

France

Company Website

www.artelys.com/solvers/knitro/

Categories and Features

Financial Risk Management

Compliance Management
Credit Risk Management
For Hedge Funds
Liquidity Analysis
Loan Portfolio Management
Market Risk Management
Operational Risk Management
Portfolio Management
Portfolio Modeling
Risk Analytics Benchmarks
Stress Tests
Value At Risk Calculation

Categories and Features

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