OptimizationMethod class in QL-SWIG C#

[Jim Mallernee]

Hi all,

 

Has anyone successfully implemented

a gradient search or any other optimization

with the C# bindings generated by QL-SWIG?

 

It seems that the C# classes have different

names than those in the original ql library.

In c++, there are classes for Problem,

LineSearchBasedMethod, ArmijoLineSearch,

and ConjugateGradient. In the C# code generated

by QL-SWIG there is only OptimizationProblem

and Optimizer.

 

I'm only trying to run a simple gradient search

method, exactly like what is offered in the original

c++ library, but in C#.

 

Any insight on the matter would be greatly appreciated.

 

-Jim

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[Luigi Ballabio]

On Thu, 2011-07-14 at 11:14 -0400, Jim Mallernee wrote:
> Has anyone successfully implemented
> a gradient search or any other optimization
> with the C# bindings generated by QL-SWIG?

No, there's no such thing.  The problem is that the SWIG wrappers should
be able to take a native C# function, wrap it into something callable
from C++, and pass the latter to the C++ optimizer solve() method.  I
was able to do this for a few languages (Python, Ruby etc., see
functions.i for the implementation) but not for C# as I don't know the
API for C++/C# interface.  If you want to give it a try, let me know.

Luigi


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