Optimisation source code

Russell · August 9th, 2005, 11:05 am

Does anyone have source code in C# or Java for BFGS or a similar optimisation algorithm?Characteristics of my problem:1) low(ish) number of dimensions 2-7.2) Relatively smooth3) Very expensive to compute4) Analytic derivatives not available but numerical derivatives built up from previous evaluations should be useful.I'm currently using the downhill simplex method (very easy to knock up quickly) but it's slow due to the high number of function evaluations. Any suggestions or comments welcome.Thanks,Russ

mohamedb · August 9th, 2005, 4:12 pm

i'd suggest porting one of the "Numerical Recipes in C" routines - shouldn't be too laborious!!

Garywind · August 15th, 2005, 10:05 am

you can find some source codes using google. I think most of them follow the Numerical Recipes.

QuantDeveloper · August 16th, 2005, 6:37 pm

Adaptive Simulated Annealing or genetic optimization (GALib), both have open source code. Just search google.Cheers,Anton

GrenvilleCroll · August 18th, 2005, 10:26 am

Take a look at our new Software Development Kit at www.solver.com. Not free, but the software engineering has been done for you. There are a variety of optmisation algorithms.