Hi;This could be a longshot but..I have exhausted all options available to me. Presently have code that generates the heston parameters for stochastic vol in matlab, calibrated from market data. I need to port it over to c#.quadl has been ported over to c#..works fine. Presently where i'm at, the library is in c#.lsqnonlin is a non linear least squares with bounded constraints algo.The closest i have found is http://www.alglib.net/optimization/lbfgs.php. it works but the output is erroneous as per supplied documentation. could anyone point me in the right direction besides lbfgs i.e. implementation of lsqnonlin in c#? i've been stuck for quite some time.alternatively, anyone has there references?Don't have access to the journals with these pdf's.[1] Coleman, T.F. and Y. Li, "An Interior, Trust Region Approach for Nonlinear Minimization Subject to Bounds," SIAM Journal on Optimization, Vol. 6, pp. 418–445, 1996.[2] Coleman, T.F. and Y. Li, "On the Convergence of Reflective Newton Methods for Large-Scale Nonlinear Minimization Subject to Bounds," Mathematical Programming, Vol. 67, Number 2, pp. 189-224, 1994.[4] Levenberg, K., "A Method for the Solution of Certain Problems in Least-Squares," Quarterly Applied Math. 2, pp. 164–168, 1944.[5] Marquardt, D., "An Algorithm for Least-Squares Estimation of Nonlinear Parameters," SIAM Journal Applied Math., Vol. 11, pp. 431–441, 1963.thanks in advance.

QuoteOriginally posted by: tkhHi;This could be a longshot but..I have exhausted all options available to me. Presently have code that generates the heston parameters for stochastic vol in matlab, calibrated from market data. I need to port it over to c#.quadl has been ported over to c#..works fine. Presently where i'm at, the library is in c#.lsqnonlin is a non linear least squares with bounded constraints algo.The closest i have found is http://www.alglib.net/optimization/lbfgs.php. it works but the output is erroneous as per supplied documentation. could anyone point me in the right direction besides lbfgs i.e. implementation of lsqnonlin in c#? i've been stuck for quite some time.alternatively, anyone has there references?Don't have access to the journals with these pdf's.[1] Coleman, T.F. and Y. Li, "An Interior, Trust Region Approach for Nonlinear Minimization Subject to Bounds," SIAM Journal on Optimization, Vol. 6, pp. 418–445, 1996.[2] Coleman, T.F. and Y. Li, "On the Convergence of Reflective Newton Methods for Large-Scale Nonlinear Minimization Subject to Bounds," Mathematical Programming, Vol. 67, Number 2, pp. 189-224, 1994.[4] Levenberg, K., "A Method for the Solution of Certain Problems in Least-Squares," Quarterly Applied Math. 2, pp. 164–168, 1944.[5] Marquardt, D., "An Algorithm for Least-Squares Estimation of Nonlinear Parameters," SIAM Journal Applied Math., Vol. 11, pp. 431–441, 1963.thanks in advance.You can also try this one:http://csmr.ca.sandia.gov/projects/opt++/It is very complete for optimization packagesn, covering also non linear constraints.I have it here, but couldnt make it work with eclipse/g++. I'll try again this weekend, but if someone is using this package, can please point in some directions of how to make it work at eclipse?

This could maybe help tooIntegrating MATLAB with C# http://www.mathworks.com/matlabcentral/ ... fileBrahim

T.F. Coleman papers a lot of them can be found as report version fromeCommons@Cornell Faculty of Computing and Information Sciencehttp://ecommons.library.cornell.edu/handle/1813/7730search with ColemanRegardsBHC

T.F. Coleman papers ... a lot of them can be found as report version fromeCommons@Cornell Faculty of Computing and Information Sciencehttp://ecommons.library.cornell.edu/handle/1813/7730search with ColemanRegardsBHC

Thank you perlin and charef for the replies. will look into it.rgds;