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PureBytes Links
Trading Reference Links
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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.
Bob Fulks
At 08:15 PM 11/23/2004, Gray, Gabriel wrote:
>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.
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