FICO Releases First Major Global Optimization Solver for Complex “Nonlinear” Problems
FICO® Xpress Optimization, part of FICO® Platform, offers widest range of optimization solvers
More information: https://www.fico.com/en/products/fico-xpress-optimization
“We live in a nonlinear world,” said Dr.
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.”
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
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.
FICO (NYSE: FICO) powers decisions that help people and businesses around the world prosper. Founded in 1956, the company is a pioneer in the use of predictive analytics and data science to improve operational decisions. FICO holds more than 2150 US and foreign patents on technologies that increase profitability, customer satisfaction and growth for businesses in financial services, insurance, telecommunications, health care, retail and many other industries. Using FICO solutions, businesses in nearly 120 countries do everything from protecting 2.6 billion payment cards from fraud, to improving financial inclusion, to increasing supply chain resiliency. The FICO® Score, used by 90% of top US lenders, is the standard measure of consumer credit risk in the US and other countries, improving risk management, credit access and transparency. Learn more at www.fico.com.
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