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Gabrial Gray asked:
>>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
Bob Fulks wote:
>Check with www.solver.com. They may have something.
>
>They are the people who wrote the Solver used in Excel and they have
>other versions and DLLs available.
The Excel solver is pretty nice, though not without its problems
(sometimes I set up a problem that the solver solves slower than me
manually twiddling a few cells).
There's always Numerical Recipes in C++. There's an entire chapter
(10) dedicated to minimization and maximization of functions; in
other words, optimization. The multidimensional Simplex technique
my be what you're looking for, although they also describe other
multidimensional optimization techniques.
See http://www.nr.com - there's a section having the C version online
for free.
Bob's suggestion, to use a pre-written DLL or object code, might be
the easiest and quickest solution for you, however.
--
,|___ Alex Matulich -- alex@xxxxxxxxxxxxxx
// +__> Director of Research and Development
// \
// __) Unicorn Research Corporation -- http://unicorn.us.com
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