Should I use JuMP?

JuMP is an algebraic modeling language for mathematical optimization written in the Julia language.

When should I use JuMP?

You should use JuMP if you have a constrained optimization problem for which you can formulate a set of decision variables, a scalar objective function, and a set of constraints.

Key reasons to use JuMP include:

  • User friendliness
  • Speed
    • Benchmarking has shown that JuMP can create problems at similar speeds to special-purpose modeling languages such as AMPL.
    • JuMP communicates with most solvers in memory, avoiding the need to write intermediary files.
  • Solver independence
    • JuMP uses a generic solver-independent interface provided by the MathOptInterface package, making it easy to change between a number of open-source and commercial optimization software packages ("solvers"). The Supported solvers section contains a table of the currently supported solvers.
  • Access to advanced algorithmic techniques
    • Efficient in-memory LP re-solves which previously required using solver-specific and/or low-level C++ libraries.
    • Access to solver-independent and solver-dependent Callbacks.
  • Ease of embedding
    • JuMP itself is written purely in Julia. Solvers are the only binary dependencies.
    • Automated install of many solver dependencies.
      • JuMP provides automatic installation of many open-source solvers. This is different to modeling languages in Python which require you to download and install a solver yourself.
    • Being embedded in a general-purpose programming language makes it easy to solve optimization problems as part of a larger workflow (e.g., inside a simulation, behind a web server, or as a subproblem in a decomposition algorithm).
      • As a trade-off, JuMP's syntax is constrained by the syntax available in Julia.
    • JuMP is MPL licensed, meaning that it can be embedded in commercial software that complies with the terms of the license.

When should I not use JuMP?

JuMP supports a broad range of optimization classes. However, there are still some that it doesn't support, or that are better supported by other software packages.

Black-box, derivative free, or unconstrained optimization

JuMP does support nonlinear programs with constraints and objectives containing user-defined functions. However, the functions must be automatically differentiable, or need to provide explicit derivatives. (See User-defined Functions for more information.)

If your function is a black-box that is non-differentiable (e.g., the output of a simulation written in C++), JuMP is not the right tool for the job. This also applies if you want to use a derivative free method.

Even if your problem is differentiable, if it is unconstrained there is limited benefit (and downsides in the form of more overhead) to using JuMP over tools which are only concerned with function minimization.

Alternatives to consider are:

Multiobjective programs

If your problem has more than one objective, JuMP is not the right tool for the job. However, we're working on fixing this!.

Alternatives to consider are:

Disciplined convex programming

JuMP does not support disciplined convex programming (DCP).

Alternatives to consider are:


Convex.jl is also built on MathOptInterface, and shares the same set of underlying solvers. However, you input problems differently, and Convex.jl checks that the problem is DCP.