Question

I’m looking for recommendations for C++ libraries for non-linear programming (not just for integers!).

Preference is for actively maintained F/OSS solutions, but actively maintained commercial solutions offering free evaluation versions are acceptable.

Thanks in advance!

Edit: As requested, here are more details:

The application I’m working on is simple, and it’s about minimizing polynomials of degree 4 and higher (up to 11) with a small set (~20) of constraints expressed as inequalities (again, as polynomials, degree <= 4). I might also, occasionally, have to throw in some trigonometric function, though. In any case, it’s always continuous, differentiable functions I’m dealing with. The number of variable ranges from 1 to 12, for now, and won’t go much beyond that.

Finally, I need a solution that works on Windows, but cross-platform ones would be preferable.

Answer 1

NLopt has solid C code for a good dozen algorithms, including COBYLA,
Constrained Optimization BY Linear Approximations for derivative-free optimization with nonlinear inequality and equality constraints, by M. J. D. Powell.
Added: here
are runs of several of the non-derivative optimizers in NLopt.
For Rosenbrock and Powell test functions in 5d and 10d, they’re all very sensitive to random startpoints; ymmv.