Nonlinear optimizer in low dimensions

GogolaAnita · September 5th, 2006, 9:50 am

Gents,I am searching for a reliable unconstained optimizer in low dimensions ( max 8, say ). I would like to find the minimum of a quadratic function ( which is not stange in finance ... )I have implemented Nelder Mead simplex and Levenberg Marquardt ( from NR ). I would like to know, if => you can recommend new ones=> you are aware of any improvements of the aforementioned optimizers ( esp. L-M ).Thanks in advance.

pi314 · September 6th, 2006, 12:11 pm

you can use Powell algorithm..

vixen · September 6th, 2006, 1:21 pm

Unconstrained Quadratic objective function ?No need for an optimiser. There is an analytic solution!