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I'm currently using General Algebraic Modeling System (GAMS), and more specifically CPLEX within GAMS, to solve a very large mixed integer programming problem. This allows me to parallelize the process over 4 cores (although I have more, CPLEX utilizes a maximum of 4 cores), and it finds an optimal solution in a relatively short amount of time.

Is there an open source mixed integer programming tool that I could use as an alternative to GAMS and CPLEX? It must be comparable in speed or faster for me to consider it. I have a preference for R based solutions, but I'm open to suggestions of all kinds, and other users may be interested in different solutions.

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  • $\begingroup$ If you're still interested, the corresponding CRAN Task View contains references to a large number of relevant R packages. $\endgroup$ – Aleksandr Blekh Mar 13 '15 at 7:37
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Never done stuff on that scale, but as no-one else has jumped in yet have you seen these two papers that discuss non-commercial solutions? Symphony and COIN-OR seem to be the dominant suggestions.

Linderoth, Jeffrey T., and Andrea Lodi. "MILP software." Wiley encyclopedia of operations research and management science (2010). PDF version

Linderoth, Jeffrey T., and Ted K. Ralphs. "Noncommercial software for mixed-integer linear programming." Integer programming: theory and practice 3 (2005): 253-303. Compares performance

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    $\begingroup$ Thank you for your post, but can you include some of the essential information to answer the question here? The material you linked is a great way to support the information in your answer, but this site was created to compile a great collection of questions with answers. Posts that send users elsewhere to find that information are not really considered "answers" here. Thanks. $\endgroup$ – Robert Cartaino Jun 12 '14 at 16:56
  • $\begingroup$ Sorry, I take your point. I thought "Symphony / COIN-OR seem to be the dominant suggestions" answered the question "is there an open source [...] alternative [...]?" - the links were for backup as to why. I did caveat that the OP's scenario is on a bigger scale than I'm used to - I cannot give any extra information from personal experience but as this is a new stackexchange site and no-one had jumped in, I thought I'd try to assist. Will delete if you think it's not helpful / an answer. $\endgroup$ – J Richard Snape Jun 30 '14 at 10:45

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