Serving the Quantitative Finance Community
-
- Randomness
- Posts: 0
- Joined:
Optimizer
the solver in excel is quite weak for some large scale optimisation using the least squares algorithmscould someone please tell me if there are any external vendors that sell some quicker and more robust solver
Optimizer
If no luck/replies in Excel, Matlab has non-linear multidimensional optimisation built in (fminsearch) as well as toolkits for using genetic algorithms, neural networks and simulated annealing. Once you wrote your error function it's easy to switch optimisation techniques, they all use a similar calling convention.I guess it depends if your optimisation is one-off (port data to matlab and optimise) or higher frequency (better stay in excel). Will Smith
