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Try Lester Ingbers Adaptive Simulated Annealing for
Nonlinear Systems) (ASA)
at www.ingber.com
> Date: Tue, 23 Nov 2004 20:15:19 -0500
> From: "Gray, Gabriel" <gabriel@xxxxxxxxxxxxxxx>
> To: <omega-list@xxxxxxxxxx>
> Subject: Nonlinear Optimization with Constraints
>
> 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
>
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