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Thanks Alex,
That was the first place I looked. The problem is that the Simplex
section was a generalized optimization without constraints and the idea
of restricting the optimization to the proper bounds myself seemed like
a monster of a project and one subject to plenty of errors.
Gabriel
-----Original Message-----
From: unicorn@xxxxxxxxx [mailto:unicorn@xxxxxxxxx] On Behalf Of Alex
Matulich
Sent: Wednesday, November 24, 2004 12:58 PM
To: omega-list@xxxxxxxxxx
Subject: Re: Nonlinear Optimization with Constraints
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
|