Analytics software leader FICO announced the release of a true global mathematical optimization solver as part of FICO® Xpress 9.2 Optimization. The global optimization solver gives users a better way to tackle complex nonlinear problems in energy, pricing optimization and many other fields, and can offer guarantees about the performance of the solutions it finds. FICO Xpress 9.2 is available both as a standalone solution and for use by FICO partners, and will be available soon in FICO® Platform. FICO is the first major commercial optimization provider to release a true global mathematical solver.
“We live in a nonlinear world,” said Dr. Oliver Bastert, vice president of product management for FICO Platform. “That means clear, consistent, ‘linear’ relationships between variables don’t always exist. A common example of this would be pricing, where buyers’ propensity to purchase products often has a complex relationship with the price at which those products are offered. While most optimization solvers use linear approximations to arrive at a solution, our global optimization represents a leap forward in this process to arrive at much more precise results.”
Global optimization refers to mathematical optimization over a “non-convex” decision space and business objectives when there are several “locally” optimal solutions. While local optimization solvers may get stuck in a locally optimal solution, global optimization solvers conduct a holistic search over the entire decision space using the technology of local solvers, which is a much more complicated process.
“The global solver provides ‘guarantees’ that it has found the best solution overall,” said Bastert. “This is important for many use cases, where even a 1% improvement in results can, for example, save millions of dollars in cost.”
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Good use cases for global optimization include:
- Price optimization with nonlinear demand response functions
- AC power flow
- Chemical processing
- Optimization of machine learning models for validation, or for adversarial machine learning, which studies attacks on machine learning algorithms
- Sensor-network localization
The latest FICO Xpress release also includes performance enhancements to the core mixed-integer programming engine, and several usability features.
“Modeling and solving nonlinear optimization problems has always been a fascinating field of research for me,” said Andrea Lodi, an Andrew H. and Ann R. Tisch Professor at the Jacobs Technion-Cornell Institute at Cornell Tech and the Technion, a member of the Operations Research and Information Engineering field at Cornell University, and the author of more than 100 publications in the top journals of the field of mathematical optimization and data science. “With the recent rise of AI, there is an even greater demand for effectively addressing such problems. It is impressive to see that FICO, a renowned industry leader in analytics software, is taking the pioneering initiative to introduce a global optimization solver for general mixed-integer nonlinear optimization problems. I’m excited to start exploring Xpress 9.2 capabilities, and I am looking forward to witnessing the impact it will have both on industrial applications and academic research.”
Both FICO® Platform and FICO® Xpress Optimization offer solvers for the widest range of problem types of any commercial optimization package, including LP, MIP, QCQP, MIQCQP, SOCP, MISOCP, Constraint Programming, MINLP (local and global), and local solvers with user functions.
FICO® Xpress Optimization allows businesses to easily build, deploy and use optimization solutions that crunch through millions of potential scenarios to find the ideal solution. The technology is also part of FICO® Platform, which is built on an open architecture and is supported by an integrated set of composable capabilities that span the applied intelligence value chain – from organizing your data, to discovering deep new insights, putting this into motion with actions to achieve the desired outcomes.
SOURCE: BusinessWire