Nonlinear Optimization with Constraints

["Gray, Gabriel" <gabriel@xxxxxxxxxxxxxxx>]

Hello All,

Does anyone have any experience in optimizing a nonlinear objective
function subject to linear constraints? I am trying to optimize a
portfolio in C++ and am looking for algorithms to efficiently find an
empirical solution for the Markowitz portfolio (lowest variance for
fixed return). Does anyone know of any very reliable opensource
libraries that contain efficient algorithms to find the solution. I
found Opt++ at
http://csmr.ca.sandia.gov/opt++/OPT++2.1_doc/html/index.html, but it did
not support windows. Also, it needs to be compatible with the Borland
C++ complier. 
If need be I am will to buy a commercial software. Any recommendations
would be greatly appreciated. Does anyone have experience calling Matlab
from C++? Are there any large pitfalls or steep learning curves? In
general, how much work is it to set up a function to pass a covariance
matrix and the constraint equations to Matlab and expect a quick and
easy solution? Thanks in advance for any advice.

Gabriel