Yep, still no joy.
Luigi
Hi Vivian
Luigi Ballabio commented (in reply to a question from Mark Joshi) that QP factories would probably be on the todo list some day.
It was a couple years ago, now.
Yet there is still no such tools available in QL, to my knowledge.
Best
Edouard.
+++
Asunto [Quantlib-users] Quadratic Programming & Multi-Dimensional Newton Iteration Remitente [hidden email] Destinatario [hidden email] Fecha Vie 09:30 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 ++++
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