Question

Would you recommend any convex optim libraries ?

Ideally opensource.
A priori for semidefinite programming and QCQP.

(I intend to use it with fsharp but any dotnet would do)

Answer 1

Solver Foundation, a .Net runtime for mathematical programming, modeling, and optimization from Microsoft, probably provides what you want.

They also have Optimization Modeling Language which allows to model optimization problems in a declarative way. This way of modeling is really attractive when combining with expressiveness of functional programming languages like F#.

To get a feeling of using Solver Foundation with F#, take a look at these interesting blog posts:

• Solvers, Optimization, and more on DSLs
• Optimization domain specific language in F# with units of measure
• Support vector machines (SVMs) in F# using Microsoft Solver Foundation