Search Results for "solve"

.... In order to minimise the variance it internally uses QuadProg++, a library that implement the algorithm of Goldfarb and Idnani for the solution of a (convex) Quadratic Programming problem by means of an active-set dual method. This solution is very efficient as it allows to solve hundred of thousand of portfolio problems in seconds. PortOpt runs as a text/console tool so it can be easily used in your own scripts.

The toolkit glpk supports methods for mixed integer linear programming (MILP). These methods solve Capital Budgeting Problems (CBP). Unfortunately, glpk does not support any multithreading and there is no feature to distribute problems via network connections. Today, this is a pitiable sight, because modern computer systems are coupled by networks and support multi threading. We create a distributed system with Apache thrift and the C-API of glpk. Now, it is possible to use as many cores...

.... Unfortunately the implementation of this interface is lacking in some versions: 1. It cannot handle batch files containing multiple messages. 2. It does not correctly handle a FIN ACK message paired with a FIN Output message (it treats the pair as single FIN ACK messages, basically ignoring the FIN Output message). This utility aims to solve the above problems by acting as a converter/preprocessor for FlexCube. Other back-office applications might also find this useful.