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PureBytes Links
Trading Reference Links
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The best optimization program that I know of is
MINUIT, produced by CERN. It is distributed freely for
educational and research purposes and may be purchased
for applications other than above. (No relation other
than past experience with it).
http://wwwasdoc.web.cern.ch/wwwasdoc/hbook_html3/node118.html
It contains several algorithms for non-linear global
optimization and especially good for finding global
minimum of an object function. Contains SIMPLEX,
MIGRAD, HESSE, MINOS, MINIMIZE (Monte-Carlo). It can
simply SCAN over all parameters and find the minimum
like TradeStation does. I believe some people work on
converting it from FORTRAN to C/C++.
Adding constraints simply means modifying an object
function via equation for constraints times Lagrange
multipliers.
Sergey
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