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updated 1 year ago

Augmented Lagrangian by Mayowa Aregbesola

Augmented Lagrangian methods are a certain class of algorithms for solving constrained optimization. (optimization)

ALH( x, f, g, G, H, Dg, Hg, e, k, eta)

newton_constrained.m

prob1.m

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updated almost 9 years ago

Using MATLAB to Develop Portfolio Optimization Models by Bob Taylor

Scripts to create time-evolving efficient frontiers and to backtest results. (finance, modeling, analysis)

[DateHistory, RetHistory, PortHistory, X, Y, Z ] ...

ecmninit(Data, InitMethod)

ecmnmle(Data, InitMethod, MaxIter, Tolerance, Mean0, Cova...

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