FICO Xpress

The FICO Xpress optimizer is a commercial optimization solver for linear programming (LP), mixed integer linear programming (MILP), convex quadratic programming (QP), convex quadratically constrained quadratic programming (QCQP), second-order cone programming (SOCP) and their mixed integer counterparts. Xpress includes a general purpose non-linear solver, Xpress NonLinear, including a successive linear programming algorithm (SLP, first-order method), and Artelys Knitro (second-order methods).

Xpress was originally developed by Dash Optimization, and was acquired by FICO in 2008. Its initial authors were Bob Daniel and Robert Ashford. The first version of Xpress could only solve LPs; support for MIPs was added in 1986. Being released in 1983, Xpress was the first commercial LP and MIP solver running on PCs. In 1992, an Xpress version for parallel computing was published, which was extended to distributed computing five years later. Xpress was the first MIP solver to cross the billion matrix non-zero threshold by introducing 64-bit indexing in 2010. Since 2014, Xpress features the first commercial implementation of a parallel dual simplex method.