LINDOGLOBAL

LINDOGLOBAL: GAMS/LINDOGlobal finds guaranteed globally optimal solutions to general nonlinear problems with continuous and/or discrete variables. GAMS/LINDOGlobal supports most mathematical functions, including functions that are nonsmooth, such as abs(x) and or even discontinuous, such as floor(x).

The LINDO global optimization procedure (GOP) employs branch-and-cut methods to break an NLP model down into a list of subproblems. Each subproblem is analyzed and either a) is shown to not have a feasible or optimal solution, or b) an optimal solution to the subproblem is found, e.g., because the subproblem is shown to be convex, or c) the subproblem is further split into two or more subproblems which are then placed on the list. Given appropriate tolerances, after a finite, though possibly large number of steps a solution provably global optimal to tolerances is returned. Traditional nonlinear solvers can get stuck at suboptimal, local solutions. This is no longer the case when using the global solver.

The documentation for LINDOGLOBAL is at http://www.gams.com/solvers/lindoglobal.pdf or can be accessed through the IDE Help Menu.