[Quantlib-dev] quadratic programming

[<fre...@gm...>]

Hello Mark,

I am not sure to have understood well your question. Do you talk about
sequential quadratic programming (SQP) or just 'how to solve' a quadratic
problem?

Do your problem have this form: Minimize f(x): { x in X, g(x) <=3D 0, h(x) =
<=3D
0 }? so SQP would be suitable to solve your problem. The known method is
with lagrangian multipliers. Anyway, I dont know any open source libraries
which have it.

Regards
Fr=E9d=E9ric Degraeve

-----Original Message-----
From: qua...@li... [mailto:
qua...@li...] On Behalf Of Mark joshi
Sent: lundi 7 mai 2007 02:10
To: qua...@li...
Subject: [Quantlib-dev] quadratic programming



Dear All,



I have an idea how to reduce the LMM calibration to a quadratic

programming question.

So



1) is there any quadratic programming in quantlib already?

2) does anyone know anything about it?

3) does anyone have any views on how it ought to be done?



The problem is pretty simple: solve a couple of quadratics in

n-variables, whilst minimizing a third.





best



mark





--=20

Assoc Prof Mark Joshi

Centre for Actuarial Studies

University of Melbourne

My website is www.markjoshi.com



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