Login  Register

Quadratic Programming & Multi-Dimensional Newton Iteration

Posted by Vivian Wu on May 29, 2015; 9:30am
URL: http://quantlib.414.s1.nabble.com/Quadratic-Programming-Multi-Dimensional-Newton-Iteration-tp16601.html

Hi, all,

An optimization problem can be formulated as follows.
Take 2-Dimensional as an example(variables: x1, x2; constants: a~i).
min a*pow(x1,2)+b*x1*x2+c*pow(x2,2)
s.t.         d*x1+e*x2+f=0
              g*x1+h*x2+i>=0
              x1>=0
              x2>=0
We could use quadratic programming or multi-dimensional Newton iteration to solve it.

After going through QuantLib to search for quadratic programming or multi-dimensional Newton iteration, I found OptimizationMethod with CostFunction and Constraint(boundary constraints of the variables but not linear constraints on these variables) and Newton 1-D solver(not multi-dimensional). So they are not suitable for the problem.

Did I misunderstand these classes, like OptimizationMethod, and Newton?
Or I have missed the functions related to quadratic programming?
Is there any other ideas about how to solve the above problem?


Thanks in advance.


Regards,

       Vivian