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updated 2 years ago

Optimization and Calibration by Kienitz Wetterau FinModelling

We provide all the examples from Chapter 9 of the book. Especially, a globally convergent local SQP. (heston, optimizer, sqp)

BoundConstraints(xvec,lb,ub,varargin)

BoundConstraints(xvec,lb,ub,varargin)

CharacteristicFunctionLib(model,u,T,r,d,params)

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updated 8 years ago

RSQP Toolbox for MATLAB by Zhijiang Shao

Toolbox for large-scale equality constrained optimization, an implementation of RSQP algorithm. (optimization, largescale optimizati..., nlp)

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