Review on Gurobi Optimizer by Keegan Herbert

I like how easily you can use python or R code through the API.It's very flexible in terms of what kind of models you want to run. It does have some overhead associated with it (memory) as compared to other libraries, but it is still faster than many commercial products. There are quite a few restrictions. It doesn't support multi-objective optimization or multi-modal problems. You also cannot use multiple threads without using an external library. The documentation could be improved, but I think this is mostly because there are not too many developers working on it. If your problem has specific requirements for parallel computing then this might not work well for you. We're solving large scale PDEs in finance to try and find optimal portfolios and parameters.