Re: optimization question

Posted by Joseph Wang on
URL: http://quantlib.414.s1.nabble.com/optimization-question-tp3530p3531.html

The fun thing about the optimization problem is that the question of
what technique works best in what conditions is still a major research
question.  It's not like PDE's where for the most part, you know that in
this situation you do this.

      - this will pass the constraints to a java engine or a c++ engine

Yes.  I'd use C++ for this.  The minor problem is that java tends to be
slower for things that are heavily numerical.
The major problem is that C++ tends to be much easier to interface.  I'm
sure that the hot new language of 2020
is going to have a way of interfacing with C/C++.

    now my question is:  rather than me trying to build this thing from
   scratch, is there objects/code  i can use for the actual optimization
   portion of this problem?  

I don't know of any open source library (not so say there aren't any).  
The proprietary engines I know about tend to be tuned to a particular
problem.

   In general is there literature or example code that i can base myself
off and then customize to my own solution.

Tons of literature (one magic google keywork is "stochastic
optimization" .  Very little open source code.