quadratic programming

Posted by frederic.degraeve (Bugzilla) on
URL: http://quantlib.414.s1.nabble.com/quadratic-programming-tp9440.html

Hello Mark,
 
I am not sure to have understood well your question. Do you talk about sequential quadratic programming (SQP) or just 'how to solve' a quadratic problem?

Do your problem have this form: Minimize f(x): { x in X, g(x) <= 0, h(x) <= 0 }? so SQP would be suitable to solve your problem. The known method is with lagrangian multipliers. Anyway, I dont know any open source libraries which have it.

Regards
Frédéric Degraeve

  

-----Original Message-----
From: [hidden email] [mailto:[hidden email]] On Behalf Of Mark joshi
Sent: lundi 7 mai 2007 02:10
To: [hidden email]
Subject: [Quantlib-dev] quadratic programming

 

Dear All,

 

I have an idea how to reduce the LMM calibration to a quadratic

programming question.

So

 

1) is there any quadratic programming in quantlib already?

2) does anyone know anything about it?

3) does anyone have any views on how it ought to be done?

 

The problem is pretty simple: solve a couple of quadratics in

n-variables, whilst minimizing a third.

 

 

best

 

mark

 

 

--

Assoc Prof Mark Joshi

Centre for Actuarial Studies

University of Melbourne

My website is <a href="http://www.markjoshi.com" target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">www.markjoshi.com

 

-------------------------------------------------------------------------

This SF.net email is sponsored by DB2 Express

Download DB2 Express C - the FREE version of DB2 express and take

control of your XML. No limits. Just data. Click to get it now.

<a href="http://sourceforge.net/powerbar/db2/" target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">http://sourceforge.net/powerbar/db2/

_______________________________________________

QuantLib-dev mailing list

[hidden email]

<a href="https://lists.sourceforge.net/lists/listinfo/quantlib-dev" target="_blank" onclick="return top.js.OpenExtLink(window,event,this)">https://lists.sourceforge.net/lists/listinfo/quantlib-dev

-------------------------------------------------------------------------
This SF.net email is sponsored by DB2 Express
Download DB2 Express C - the FREE version of DB2 express and take
control of your XML. No limits. Just data. Click to get it now.
http://sourceforge.net/powerbar/db2/
_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev