Linear programming (LP, also called linear optimization) is a method to achieve the best outcome (such as maximum profit or lowest cost) in a mathematical model whose requirements are represented by linear relationships. Linear programming is a special case of mathematical programming (mathematical optimization).
More formally, linear programming is a technique for the optimization of a linear objective function, subject to linear equality and linear inequality constraints. Its feasible region is a convex polytope, which is a set defined as the intersection of finitely many half spaces, each of which is defined by a linear inequality. Its objective function is a realvalued affine (linear) function defined on this polyhedron. A linear programming algorithm finds a point in the polyhedron where this function has the smallest (or largest) value if such a point exists.
Linear programs are problems that can be expressed in canonical form as
where x represents the vector of variables (to be determined), c and b are vectors of (known) coefficients, A is a (known) matrix of coefficients, and is the matrix transpose. The expression to be maximized or minimized is called the objective function (c^{T}x in this case). The inequalities Ax b and x >= 0 are the constraints which specify a convex polytope over which the objective function is to be optimized. In this context, two vectors are comparable when they have the same dimensions. If every entry in the first is lessthan or equalto the corresponding entry in the second then it can be said that the first vector is lessthan or equalto the second vector.
Linear programming can be applied to various fields of study. It is widely used in mathematics, and to a lesser extent in business, economics, and for some engineering problems. Industries that use linear programming models include transportation, energy, telecommunications, and manufacturing. It has proven useful in modeling diverse types of problems in planning, routing, scheduling, assignment, and design.
The problem of solving a system of linear inequalities dates back at least as far as Fourier, who in 1827 published a method for solving them,^{[1]} and after whom the method of FourierMotzkin elimination is named.
In 1939 a linear programming formulation of a problem that is equivalent to the general linear programming problem was given by the Soviet economist Leonid Kantorovich, who also proposed a method for solving it.^{[2]} It is a way he developed, during World War II, to plan expenditures and returns in order to reduce costs of the army and to increase losses incurred to the enemy.^{[]} Kantorovich's work was initially neglected in the USSR.^{[3]} About the same time as Kantorovich, the DutchAmerican economist T. C. Koopmans formulated classical economic problems as linear programs. Kantorovich and Koopmans later shared the 1975 Nobel prize in economics.^{[1]} In 1941, Frank Lauren Hitchcock also formulated transportation problems as linear programs and gave a solution very similar to the later Simplex method;^{[2]} Hitchcock had died in 1957 and the Nobel prize is not awarded posthumously.
During 19461947, George B. Dantzig independently developed general linear programming formulation to use for planning problems in US Air Force. In 1947, Dantzig also invented the simplex method that for the first time efficiently tackled the linear programming problem in most cases. When Dantzig arranged a meeting with John von Neumann to discuss his simplex method, Neumann immediately conjectured the theory of duality by realizing that the problem he had been working in game theory was equivalent. Dantzig provided formal proof in an unpublished report "A Theorem on Linear Inequalities" on January 5, 1948.^{[4]} In the postwar years, many industries applied it in their daily planning.
Dantzig's original example was to find the best assignment of 70 people to 70 jobs. The computing power required to test all the permutations to select the best assignment is vast; the number of possible configurations exceeds the number of particles in the observable universe. However, it takes only a moment to find the optimum solution by posing the problem as a linear program and applying the simplex algorithm. The theory behind linear programming drastically reduces the number of possible solutions that must be checked.
The linear programming problem was first shown to be solvable in polynomial time by Leonid Khachiyan in 1979, but a larger theoretical and practical breakthrough in the field came in 1984 when Narendra Karmarkar introduced a new interiorpoint method for solving linearprogramming problems.
Linear programming is a widely used field of optimization for several reasons. Many practical problems in operations research can be expressed as linear programming problems. Certain special cases of linear programming, such as network flow problems and multicommodity flow problems are considered important enough to have generated much research on specialized algorithms for their solution. A number of algorithms for other types of optimization problems work by solving LP problems as subproblems. Historically, ideas from linear programming have inspired many of the central concepts of optimization theory, such as duality, decomposition, and the importance of convexity and its generalizations. Likewise, linear programming was heavily used in the early formation of microeconomics and is currently utilized in company management, such as planning, production, transportation, technology and other issues. Although the modern management issues are everchanging, most companies would like to maximize profits or minimize costs with limited resources. Therefore, many issues can be characterized as linear programming problems.
Standard form is the usual and most intuitive form of describing a linear programming problem. It consists of the following three parts:
The problem is usually expressed in matrix form, and then becomes:
Other forms, such as minimization problems, problems with constraints on alternative forms, as well as problems involving negative variables can always be rewritten into an equivalent problem in standard form.
Suppose that a farmer has a piece of farm land, say L km^{2}, to be planted with either wheat or barley or some combination of the two. The farmer has a limited amount of fertilizer, F kilograms, and pesticide, P kilograms. Every square kilometer of wheat requires F_{1} kilograms of fertilizer and P_{1} kilograms of pesticide, while every square kilometer of barley requires F_{2} kilograms of fertilizer and P_{2} kilograms of pesticide. Let S_{1} be the selling price of wheat per square kilometer, and S_{2} be the selling price of barley. If we denote the area of land planted with wheat and barley by x_{1} and x_{2} respectively, then profit can be maximized by choosing optimal values for x_{1} and x_{2}. This problem can be expressed with the following linear programming problem in the standard form:
Maximize:  (maximize the revenuerevenue is the "objective function")  
Subject to:  (limit on total area)  
(limit on fertilizer)  
(limit on pesticide)  
(cannot plant a negative area). 
In matrix form this becomes:
Linear programming problems can be converted into an augmented form in order to apply the common form of the simplex algorithm. This form introduces nonnegative slack variables to replace inequalities with equalities in the constraints. The problems can then be written in the following block matrix form:
where are the newly introduced slack variables, are the decision variables, and is the variable to be maximized.
The example above is converted into the following augmented form:
Maximize:  (objective function)  
subject to:  (augmented constraint)  
(augmented constraint)  
(augmented constraint)  
. 
where are (nonnegative) slack variables, representing in this example the unused area, the amount of unused fertilizer, and the amount of unused pesticide.
In matrix form this becomes:
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Every linear programming problem, referred to as a primal problem, can be converted into a dual problem, which provides an upper bound to the optimal value of the primal problem. In matrix form, we can express the primal problem as:
An alternative primal formulation is:
There are two ideas fundamental to duality theory. One is the fact that (for the symmetric dual) the dual of a dual linear program is the original primal linear program. Additionally, every feasible solution for a linear program gives a bound on the optimal value of the objective function of its dual. The weak duality theorem states that the objective function value of the dual at any feasible solution is always greater than or equal to the objective function value of the primal at any feasible solution. The strong duality theorem states that if the primal has an optimal solution, x^{*}, then the dual also has an optimal solution, y^{*}, and c^{T}x^{*}=b^{T}y^{*}.
A linear program can also be unbounded or infeasible. Duality theory tells us that if the primal is unbounded then the dual is infeasible by the weak duality theorem. Likewise, if the dual is unbounded, then the primal must be infeasible. However, it is possible for both the dual and the primal to be infeasible. As an example, consider the linear program:
Maximize:  
Subject to:  
. 
Revisit the above example of the farmer who may grow wheat and barley with the set provision of some L land, F fertilizer and P pesticide. Assume now that y unit prices for each of these means of production (inputs) are set by a planning board. The planning board's job is to minimize the total cost of procuring the set amounts of inputs while providing the farmer with a floor on the unit price of each of his crops (outputs), S_{1} for wheat and S_{2} for barley. This corresponds to the following linear programming problem:
Minimize:  (minimize the total cost of the means of production as the "objective function")  
subject to:  (the farmer must receive no less than S_{1} for his wheat)  
(the farmer must receive no less than S_{2} for his barley)  
(prices cannot be negative). 
In matrix form this becomes:
The primal problem deals with physical quantities. With all inputs available in limited quantities, and assuming the unit prices of all outputs is known, what quantities of outputs to produce so as to maximize total revenue? The dual problem deals with economic values. With floor guarantees on all output unit prices, and assuming the available quantity of all inputs is known, what input unit pricing scheme to set so as to minimize total expenditure?
To each variable in the primal space corresponds an inequality to satisfy in the dual space, both indexed by output type. To each inequality to satisfy in the primal space corresponds a variable in the dual space, both indexed by input type.
The coefficients that bound the inequalities in the primal space are used to compute the objective in the dual space, input quantities in this example. The coefficients used to compute the objective in the primal space bound the inequalities in the dual space, output unit prices in this example.
Both the primal and the dual problems make use of the same matrix. In the primal space, this matrix expresses the consumption of physical quantities of inputs necessary to produce set quantities of outputs. In the dual space, it expresses the creation of the economic values associated with the outputs from set input unit prices.
Since each inequality can be replaced by an equality and a slack variable, this means each primal variable corresponds to a dual slack variable, and each dual variable corresponds to a primal slack variable. This relation allows us to speak about complementary slackness.
Sometimes, one may find it more intuitive to obtain the dual program without looking at the program matrix. Consider the following linear program:
Minimize  
subject to  ,  
,  
, 
We have m + n conditions and all variables are nonnegative. We shall define m + n dual variables: y_{j} and s_{i}. We get:
Minimize  
subject to  ,  
,  
,  
, 
Since this is a minimization problem, we would like to obtain a dual program that is a lower bound of the primal. In other words, we would like the sum of all right hand side of the constraints to be the maximal under the condition that for each primal variable the sum of its coefficients do not exceed its coefficient in the linear function. For example, x_{1} appears in n + 1 constraints. If we sum its constraints' coefficients we get a_{1,1}y_{1} + a_{1,2}y_{2} + ... + a_{1,n}y_{n} + f_{1}s_{1}. This sum must be at most c_{1}. As a result, we get:
Maximize  
subject to  ,  
,  
, 
Note that we assume in our calculations steps that the program is in standard form. However, any linear program may be transformed to standard form and it is therefore not a limiting factor.
A covering LP is a linear program of the form:
such that the matrix A and the vectors b and c are nonnegative.
The dual of a covering LP is a packing LP, a linear program of the form:
such that the matrix A and the vectors b and c are nonnegative.
Covering and packing LPs commonly arise as a linear programming relaxation of a combinatorial problem and are important in the study of approximation algorithms.^{[5]} For example, the LP relaxations of the set packing problem, the independent set problem, and the matching problem are packing LPs. The LP relaxations of the set cover problem, the vertex cover problem, and the dominating set problem are also covering LPs.
Finding a fractional coloring of a graph is another example of a covering LP. In this case, there is one constraint for each vertex of the graph and one variable for each independent set of the graph.
It is possible to obtain an optimal solution to the dual when only an optimal solution to the primal is known using the complementary slackness theorem. The theorem states:
Suppose that x = (x_{1}, x_{2}, ... , x_{n}) is primal feasible and that y = (y_{1}, y_{2}, ... , y_{m}) is dual feasible. Let (w_{1}, w_{2}, ..., w_{m}) denote the corresponding primal slack variables, and let (z_{1}, z_{2}, ... , z_{n}) denote the corresponding dual slack variables. Then x and y are optimal for their respective problems if and only if
So if the ith slack variable of the primal is not zero, then the ith variable of the dual is equal to zero. Likewise, if the jth slack variable of the dual is not zero, then the jth variable of the primal is equal to zero.
This necessary condition for optimality conveys a fairly simple economic principle. In standard form (when maximizing), if there is slack in a constrained primal resource (i.e., there are "leftovers"), then additional quantities of that resource must have no value. Likewise, if there is slack in the dual (shadow) price nonnegativity constraint requirement, i.e., the price is not zero, then there must be scarce supplies (no "leftovers").
Geometrically, the linear constraints define the feasible region, which is a convex polyhedron. A linear function is a convex function, which implies that every local minimum is a global minimum; similarly, a linear function is a concave function, which implies that every local maximum is a global maximum.
An optimal solution need not exist, for two reasons. First, if two constraints are inconsistent, then no feasible solution exists: For instance, the constraints x >= 2 and x infeasible. Second, when the polytope is unbounded in the direction of the gradient of the objective function (where the gradient of the objective function is the vector of the coefficients of the objective function), then no optimal value is attained because it is always possible to do better than any finite value of the objective function.
Otherwise, if a feasible solution exists and if the constraint set is bounded, then the optimum value is always attained on the boundary of the constraint set, by the maximum principle for convex functions (alternatively, by the minimum principle for concave functions) since linear functions are both convex and concave. However, some problems have distinct optimal solutions: For example, the problem of finding a feasible solution to a system of linear inequalities is a linear programming problem in which the objective function is the zero function (that is, the constant function taking the value zero everywhere): For this feasibility problem with the zerofunction for its objectivefunction, if there are two distinct solutions, then every convex combination of the solutions is a solution.
The vertices of the polytope are also called basic feasible solutions. The reason for this choice of name is as follows. Let d denote the number of variables. Then the fundamental theorem of linear inequalities implies (for feasible problems) that for every vertex x^{*} of the LP feasible region, there exists a set of d (or fewer) inequality constraints from the LP such that, when we treat those d constraints as equalities, the unique solution is x^{*}. Thereby we can study these vertices by means of looking at certain subsets of the set of all constraints (a discrete set), rather than the continuum of LP solutions. This principle underlies the simplex algorithm for solving linear programs.
The simplex algorithm, developed by George Dantzig in 1947, solves LP problems by constructing a feasible solution at a vertex of the polytope and then walking along a path on the edges of the polytope to vertices with nondecreasing values of the objective function until an optimum is reached for sure. In many practical problems, "stalling" occurs: Many pivots are made with no increase in the objective function.^{[6]}^{[7]} In rare practical problems, the usual versions of the simplex algorithm may actually "cycle".^{[7]} To avoid cycles, researchers developed new pivoting rules.^{[8]}^{[9]}^{[6]}^{[7]}^{[10]}^{[11]}
In practice, the simplex algorithm is quite efficient and can be guaranteed to find the global optimum if certain precautions against cycling are taken. The simplex algorithm has been proved to solve "random" problems efficiently, i.e. in a cubic number of steps,^{[12]} which is similar to its behavior on practical problems.^{[6]}^{[13]}
However, the simplex algorithm has poor worstcase behavior: Klee and Minty constructed a family of linear programming problems for which the simplex method takes a number of steps exponential in the problem size.^{[6]}^{[9]}^{[10]} In fact, for some time it was not known whether the linear programming problem was solvable in polynomial time, i.e. of complexity class P.
Like the simplex algorithm of Dantzig, the crisscross algorithm is a basisexchange algorithm that pivots between bases. However, the crisscross algorithm need not maintain feasibility, but can pivot rather from a feasible basis to an infeasible basis. The crisscross algorithm does not have polynomial timecomplexity for linear programming. Both algorithms visit all 2^{D} corners of a (perturbed) cube in dimension D, the KleeMinty cube, in the worst case.^{[11]}^{[14]}
In contrast to the simplex algorithm, which finds an optimal solution by traversing the edges between vertices on a polyhedral set, interiorpoint methods move through the interior of the feasible region.
This is the first worstcase polynomialtime algorithm ever found for linear programming. To solve a problem which has n variables and can be encoded in L input bits, this algorithm uses O(n^{4}L) pseudoarithmetic operations on numbers with O(L) digits. Leonid Khachiyan solved this longstanding complexity issue in 1979 with the introduction of the ellipsoid method. The convergence analysis has (realnumber) predecessors, notably the iterative methods developed by Naum Z. Shor and the approximation algorithms by Arkadi Nemirovski and D. Yudin.
Khachiyan's algorithm was of landmark importance for establishing the polynomialtime solvability of linear programs. The algorithm was not a computational breakthrough, as the simplex method is more efficient for all but specially constructed families of linear programs.
However, Khachiyan's algorithm inspired new lines of research in linear programming. In 1984, N. Karmarkar proposed a projective method for linear programming. Karmarkar's algorithm improved on Khachiyan's worstcase polynomial bound (giving ). Karmarkar claimed that his algorithm was much faster in practical LP than the simplex method, a claim that created great interest in interiorpoint methods.^{[15]} Since Karmarkar's discovery, many interiorpoint methods have been proposed and analyzed.
Affine scaling is one of the oldest interior point methods to be developed. It was developed in the Soviet Union in the mid1960s, but didn't receive much attention until the discovery of Karmarkar's algorithm, after which affine scaling was reinvented multiple times and presented as a simplified version of Karmarkar's. Affine scaling amounts to doing gradient descent steps within the feasible region, while rescaling the problem to make sure the steps move toward the optimum faster.^{[16]}
For both theoretical and practical purposes, barrier function or pathfollowing methods have been the most popular interior point methods since the 1990s.^{[17]}
The current opinion is that the efficiencies of good implementations of simplexbased methods and interior point methods are similar for routine applications of linear programming.^{[17]} However, for specific types of LP problems, it may be that one type of solver is better than another (sometimes much better), and that the structure of the solutions generated by interior point methods versus simplexbased methods are significantly different with the support set of active variables being typically smaller for the later one.^{[18]}
Covering and packing LPs can be solved approximately in nearlylinear time. That is, if matrix A is of dimension n×m and has N nonzero entries, then there exist algorithms that run in time O(N·(log N)^{O(1)}/?^{O(1)}) and produce O(1±?) approximate solutions to given covering and packing LPs. The best known sequential algorithm of this kind runs in time O(N + (log N)·(n+m)/?^{2}),^{[19]} and the best known parallel algorithm of this kind runs in O((log N)^{2}/?^{3}) iterations, each requiring only a matrixvector multiplication which is highly parallelizable.^{[20]}
Unsolved problem in computer science: Does linear programming admit a strongly polynomialtime algorithm?
(more unsolved problems in computer science) 
There are several open problems in the theory of linear programming, the solution of which would represent fundamental breakthroughs in mathematics and potentially major advances in our ability to solve largescale linear programs.
This closely related set of problems has been cited by Stephen Smale as among the 18 greatest unsolved problems of the 21st century. In Smale's words, the third version of the problem "is the main unsolved problem of linear programming theory." While algorithms exist to solve linear programming in weakly polynomial time, such as the ellipsoid methods and interiorpoint techniques, no algorithms have yet been found that allow strongly polynomialtime performance in the number of constraints and the number of variables. The development of such algorithms would be of great theoretical interest, and perhaps allow practical gains in solving large LPs as well.
Although the Hirsch conjecture was recently disproved for higher dimensions, it still leaves the following questions open.
These questions relate to the performance analysis and development of simplexlike methods. The immense efficiency of the simplex algorithm in practice despite its exponentialtime theoretical performance hints that there may be variations of simplex that run in polynomial or even strongly polynomial time. It would be of great practical and theoretical significance to know whether any such variants exist, particularly as an approach to deciding if LP can be solved in strongly polynomial time.
The simplex algorithm and its variants fall in the family of edgefollowing algorithms, so named because they solve linear programming problems by moving from vertex to vertex along edges of a polytope. This means that their theoretical performance is limited by the maximum number of edges between any two vertices on the LP polytope. As a result, we are interested in knowing the maximum graphtheoretical diameter of polytopal graphs. It has been proved that all polytopes have subexponential diameter. The recent disproof of the Hirsch conjecture is the first step to prove whether any polytope has superpolynomial diameter. If any such polytopes exist, then no edgefollowing variant can run in polynomial time. Questions about polytope diameter are of independent mathematical interest.
Simplex pivot methods preserve primal (or dual) feasibility. On the other hand, crisscross pivot methods do not preserve (primal or dual) feasibilitythey may visit primal feasible, dual feasible or primalanddual infeasible bases in any order. Pivot methods of this type have been studied since the 1970s. Essentially, these methods attempt to find the shortest pivot path on the arrangement polytope under the linear programming problem. In contrast to polytopal graphs, graphs of arrangement polytopes are known to have small diameter, allowing the possibility of strongly polynomialtime crisscross pivot algorithm without resolving questions about the diameter of general polytopes.^{[11]}
If all of the unknown variables are required to be integers, then the problem is called an integer programming (IP) or integer linear programming (ILP) problem. In contrast to linear programming, which can be solved efficiently in the worst case, integer programming problems are in many practical situations (those with bounded variables) NPhard. 01 integer programming or binary integer programming (BIP) is the special case of integer programming where variables are required to be 0 or 1 (rather than arbitrary integers). This problem is also classified as NPhard, and in fact the decision version was one of Karp's 21 NPcomplete problems.
If only some of the unknown variables are required to be integers, then the problem is called a mixed integer programming (MIP) problem. These are generally also NPhard because they are even more general than ILP programs.
There are however some important subclasses of IP and MIP problems that are efficiently solvable, most notably problems where the constraint matrix is totally unimodular and the righthand sides of the constraints are integers or  more general  where the system has the total dual integrality (TDI) property.
Advanced algorithms for solving integer linear programs include:
Such integerprogramming algorithms are discussed by Padberg and in Beasley.
A linear program in real variables is said to be integral if it has at least one optimal solution which is integral. Likewise, a polyhedron is said to be integral if for all bounded feasible objective functions c, the linear program has an optimum with integer coordinates. As observed by Edmonds and Giles in 1977, one can equivalently say that the polyhedron is integral if for every bounded feasible integral objective function c, the optimal value of the linear program is an integer.
Integral linear programs are of central importance in the polyhedral aspect of combinatorial optimization since they provide an alternate characterization of a problem. Specifically, for any problem, the convex hull of the solutions is an integral polyhedron; if this polyhedron has a nice/compact description, then we can efficiently find the optimal feasible solution under any linear objective. Conversely, if we can prove that a linear programming relaxation is integral, then it is the desired description of the convex hull of feasible (integral) solutions.
Note that terminology is not consistent throughout the literature, so one should be careful to distinguish the following two concepts,
One common way of proving that a polyhedron is integral is to show that it is totally unimodular. There are other general methods including the integer decomposition property and total dual integrality. Other specific wellknown integral LPs include the matching polytope, lattice polyhedra, submodular flow polyhedra, and the intersection of 2 generalized polymatroids/gpolymatroids  e.g. see Schrijver 2003.
A bounded integral polyhedron is sometimes called a convex lattice polytope, particularly in two dimensions.
Permissive licenses:
Name  License  Brief info 

Pyomo  BSD  An opensource modeling language for largescale linear, mixed integer and nonlinear optimization 
Copyleft (reciprocal) licenses:
Name  License  Brief info 

Cassowary constraint solver  LGPL  an incremental constraint solving toolkit that efficiently solves systems of linear equalities and inequalities 
CLP  CPL  an LP solver from COINOR 
glpk  GPL  GNU Linear Programming Kit, an LP/MILP solver with a native C API and numerous (15) thirdparty wrappers for other languages. Specialist support for flow networks. Bundles the AMPLlike GNU MathProg modelling language and translator. 
Qoca  GPL  a library for incrementally solving systems of linear equations with various goal functions 
QSoptExact  GPL  a Cbased solver library using GNU MP. ^{[21]} 
RProject  GPL  a programming language and software environment for statistical computing and graphics 
MINTO (Mixed Integer Optimizer, an integer programming solver which uses branch and bound algorithm) has publicly available source code^{[22]} but is not open source.
Proprietary licenses:
Name  Brief info 

AIMMS  
AMPL  A popular modeling language for largescale linear, mixed integer and nonlinear optimisation with a free student limited version available (500 variables and 500 constraints). 
APMonitor  API to MATLAB and Python. Solve example Linear Programming (LP) problems through MATLAB, Python, or a webinterface. 
CPLEX  Popular solver with an API for several programming languages, and also has a modelling language and works with AIMMS, AMPL, GAMS, MPL, OpenOpt, OPL Development Studio, and TOMLAB. Free for academic use. 
Excel Solver Function  A nonlinear solver adjusted to spreadsheets in which function evaluations are based on the recalculating cells. Basic version available as a standard addon for Excel. 
FortMP  
GAMS  
Gurobi  Solver with parallel algorithms for largescale linear programs, quadratic programs and mixedinteger programs. Free for academic use. 
IMSL Numerical Libraries  Collections of math and statistical algorithms available in C/C++, Fortran, Java and C#/.NET. Optimization routines in the IMSL Libraries include unconstrained, linearly and nonlinearly constrained minimizations, and linear programming algorithms. 
LINDO  Solver with an API for large scale optimization of linear, integer, quadratic, conic and general nonlinear programs with stochastic programming extensions. It offers a global optimization procedure for finding guaranteed globally optimal solution to general nonlinear programs with continuous and discrete variables. It also has a statistical sampling API to integrate MonteCarlo simulations into an optimization framework. It has an algebraic modeling language (LINGO) and allows modeling within a spreadsheet (What'sBest). 
Maple  A generalpurpose programminglanguage for symbolic and numerical computing. 
MATLAB  A generalpurpose and matrixoriented programminglanguage for numerical computing. Linear programming in MATLAB requires the Optimization Toolbox in addition to the base MATLAB product; available routines include INTLINPROG and LINPROG 
Mathcad  A WYSIWYG math editor. It has functions for solving both linear and nonlinear optimization problems. 
Mathematica  A generalpurpose programminglanguage for mathematics, including symbolic and numerical capabilities. 
MOSEK  A solver for large scale optimization with API for several languages (C++,java,.net, Matlab and python). 
NAG Numerical Library  A collection of mathematical and statistical routines developed by the Numerical Algorithms Group for multiple programming languages (C, C++, Fortran, Visual Basic, Java and C#) and packages (MATLAB, Excel, R, LabVIEW). The Optimization chapter of the NAG Library includes routines for linear programming problems with both sparse and nonsparse linear constraint matrices, together with routines for the optimization of quadratic, nonlinear, sums of squares of linear or nonlinear functions with nonlinear, bounded or no constraints. The NAG Library has routines for both local and global optimization, and for continuous or integer problems. 
NMath Stats  A generalpurpose .NET statistical library containing a simplex solver.^{[23]} 
QSopt  A Cbased floatingpoint solver offered as a callable library and commandline and UI executables. Binaries available for Windows, Mac OS and several UNIX flavors. Free for research purposes. Compatible with MPS and LP industrystandard formats.^{[24]} 
OptimJ  A Javabased modeling language for optimization with a free version available.^{[25]}^{[26]} 
SAS/OR  A suite of solvers for Linear, Integer, Nonlinear, DerivativeFree, Network, Combinatorial and Constraint Optimization; the Algebraic modeling language OPTMODEL; and a variety of vertical solutions aimed at specific problems/markets, all of which are fully integrated with the SAS System. 
SCIP  A generalpurpose constraint integer programming solver with an emphasis on MIP. Compatible with Zimpl modelling language. Free for academic use and available in source code. 
XPRESS  Solver for largescale linear programs, quadratic programs, general nonlinear and mixedinteger programs. Has API for several programming languages, also has a modelling language Mosel and works with AMPL, GAMS. Free for academic use. 
VisSim  A visual block diagram language for simulation of dynamical systems. 
A reader may consider beginning with Nering and Tucker, with the first volume of Dantzig and Thapa, or with Williams.