Improve performance of Excel Solver and alternatives in C++

Cuchulainn · April 9th, 2013, 1:20 pm

QuoteOriginally posted by: daveangelin which case OLS isn't going to work. You might need something like Levenberg Marquardt (levmar).LevMar is in alglib. C# version is easy to integrate in Excel via UDF.

daveangel · April 9th, 2013, 3:14 pm

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: daveangelin which case OLS isn't going to work. You might need something like Levenberg Marquardt (levmar).LevMar is in alglib. C# version is easy to integrate in Excel via UDF.I couldn't get that sucker to work for some reason. I managed to find a Fortran implementation online which I translated into VBA. seems to work fine.

Cuchulainn · April 9th, 2013, 4:33 pm

QuoteOriginally posted by: daveangelQuoteOriginally posted by: CuchulainnQuoteOriginally posted by: daveangelin which case OLS isn't going to work. You might need something like Levenberg Marquardt (levmar).LevMar is in alglib. C# version is easy to integrate in Excel via UDF.I couldn't get that sucker to work for some reason. I managed to find a Fortran implementation online which I translated into VBA. seems to work fine.Was it 1) installation stuff (e.g. Alglibnet2.dll)2) example/app code?

Cuchulainn · April 9th, 2013, 4:49 pm

Here is a project. I put in alglib .cs files (rough and ready) but .dll is better methinks. hth (2 Levmar tes files, 1 of which not in build process).I just ran it using bespoke 101.cs file.My, last time I used Fortran was Medusa CAD (nice).I managed to find a Fortran implementation online Can you provide link pls?

skullx · April 10th, 2013, 5:54 am

Thank you, Dave! Sorry for my lack of knowledge.As a starting point I decided to take this one from quantcodeAfter I succeed with it, I'll try to move calculations to C++ dll.

daveangel · April 10th, 2013, 6:15 am

lm fit in C sorry I must have been confused thinking it was FORTRAN.

Cuchulainn · April 10th, 2013, 8:48 am

QuoteOriginally posted by: daveangellm fit in C Seemingly, this does not support constraints.Have not tried it , but alglib has LM C++ with constraints.

daveangel · April 10th, 2013, 9:04 am

QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: daveangellm fit in C Seemingly, this does not support constraints.Have not tried it , but alglib has LM C++ with constraints.yes - you are right no constraints.