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What C++ optimization Lib is used in quant job?

featips

Joined
2/26/09
Messages
76
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16
Something like Matlab Fmincon or fminsearch, which can do constrained / unconstrained nonlinear optimization?

I mean, the C++ optimization lib used in industry, not just the google search results.

Thanks for inputs.
 
Thanks a lot, ramnik.

I am curious about how the portfolio optimization is implemented with C++ in those algorithm trading companies. They wrote their own 'efficient' library to do optimization calculation?
 
As a relative question; is GSL used in finance industry? I use is a lot in my PhD research and find it very useful.
 
Amaan said:
As a relative question; is GSL used in finance industry? I use is a lot in my PhD research and find it very useful.
Click to expand...

Which packages in GSL that you used for optimization? I quickly browsed the reference manual, looks like the 'simulated annealing' and 'Multidimensional Minimization.' are relevant. However, looks like their functions are limited in term of solving nonlinear optimization (comparable to Matlab fmincon).



---------- Post added at 05:10 PM ---------- Previous post was at 05:09 PM ----------

Anyone has experience of the open-source package opt++? How is its optimization capability? If it is good, I may spend some time delving into it. Bad thing (from its documents) is it does not support Visual studio.
 
alain said:
bad thing? That might be the best thing!!!
Click to expand...

So, you mean people don't like Visual studio?

---------- Post added at 07:03 PM ---------- Previous post was at 06:57 PM ----------

I downloaded a student evaluation copy of Mosek.

First thing is test with example codes. In Visual studio, I set correctly 'additional library directories' and 'additional dependencies', then tried to compile and link the example code.

Unfortunately got following error:

------
1>LINK : fatal error LNK1104: cannot open file 'C:\Program Files (x86)\Mosek\6\tools\platform\win32x86\bin.obj'
------

Anyone know why this happen? Thanks.
 
not so much VS as people don't like Windows.

Are you sure that you set your libraries correctly? If your program compiled that error is usually due to a missing library.
 
alain said:
not so much VS as people don't like Windows.

Are you sure that you set your libraries correctly? If your program compiled that error is usually due to a missing library.
Click to expand...

The Mosek link libraries are only in folder ''C:\Program Files (x86)\Mosek\6\tools\platform\win32x86\bin'......so I think I set correctly

---------- Post added at 08:05 PM ---------- Previous post was at 07:46 PM ----------

Found the reason:

I should input

"C:\Program Files (x86)\Mosek\6\tools\platform\win32x86\bin\mosek6_0.lib"

instead of

C:\Program Files (x86)\Mosek\6\tools\platform\win32x86\bin\mosek6_0.lib


Thanks Alain.
 
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