Improving MATLAB® performance when solving financial optimization problems by Jorge Paloschi

Jorge Paloschi,PHD and Sri Krishnamurthy,CFA May 2011, http://www.wilmott.com/magazine.cfm (optimization, finance, symbolic)

OptimizationWithSymbolicToolboxDemo()

vectorize(s)

DFP quasi Newton method by Bapi Chatterjee

It solves an optimization problem by DFP quasi Newton method. (quasi newton, convex, unconstrained)

quasi_newton_dfp.m

Steepest descent method by Bapi Chatterjee

It solves an optimization problem by steepest descent method. (steepest descent, convex, minimization)

steepestdescent.m

convexchecker by Bapi Chatterjee

It checks real valued multidimensional function, whether it is convex. (optimization, finance, convex)

convexchecker.m