This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Monday, October 12, 2009

Excel's Solver algorithm

According to MS docs:

Microsoft Excel 2000 Solver uses the Generalized Reduced Gradient (GRG2) algorithm for optimizing nonlinear problems. This algorithm was developed by Leon Lasdon, of the University of Texas at Austin, and Allan Waren, of Cleveland State University.

Linear and integer problems use the simplex method, with bounds on the variables and the branch and bound method, implemented by John Watson and Dan Fylstra, of Frontline Systems, Inc.

Here's a description from authors.

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