Portfolio Optimization 

Learn how Financial Toolbox can be used to solve asset allocation and portfolio optimization problems that include transaction costs and turnover constraints. Resources include examples and resources for analyzing and optimizing portfolios. Submitted: November 7, 2011

Multiobjective Optimization 

Learn how to minimize multiple objective functions subject to constraints. Resources include videos, examples, and documentation. Submitted: September 9, 2011

Quadratic Programming 

Learn how to minimize multivariate quadratic problems. Resources include videos, examples, and documentation. Submitted: September 9, 2011

Linear Programming 

Learn how to minimize multivariate linear problems. Resources include videos, examples, and documentation. Submitted: September 9, 2011

Nonlinear Programming 

Learn how to minimize multivariate nonlinear problems. Resources include videos, examples, and documentation. Submitted: September 9, 2011

Genetic Algorithm 

Learn how to find global minima to highly nonlinear problems using the genetic algorithm. Resources include videos, examples, and documentation. Submitted: September 9, 2011

Simulated Annealing 

Learn how to find global minima for nonlinear problems using simulated annealing. Resources include videos, examples, and documentation. Submitted: September 9, 2011

MathWorks  Optimization Toolbox 

The Optimization Toolbox extends the MATLAB? environment to provide tools for general and largescale optimization of nonlinear problems. Additional tools are provided for linear programming, quadratic programming, nonlinear leastsquares, and solving nonlinear equations. Submitted: Jul 02, 1999

Optimization Mfiles 

User contributed optimization mfiles from the MATLAB Central File Exchange. Submitted: Apr 18, 2000

Optimization Software & Theory 

Software (MATLAB codes), papers, and background, related to the research of Henry Wolkowicz is available in Fortran and/or MATLAB, e.g. for semidefinite programming. Submitted: Jun 09, 2003

Iterative Methods for Optimization 

These Mfiles are implementations of the algorithms from the book "Iterative Methods for Optimization", to be published by SIAM, by C. T. Kelley. The book, which describes the algorithms, is available from SIAM (service@siam.org). Submitted: Jan 06, 1999

leasqr.m 

A modified version of LevenbergMarquardt NonLinear Regression program previously submitted by R.Schrager. This version corrects an error in that version and also provides an easier to use version with automatic numerical calculation of the Jacobian Matrix. In addition, this version calculates statistics such as correlation. Submitted: Jul 19, 1999

SolvOpt 

The program SolvOpt (Solver for local optimization problems) is concerned with minimization or maximization of nonlinear, possibly nonsmooth objective functions and with the solution of nonlinear programming problems taking into account constraints by the socalled method of exact penalization. The program solvopt requires that the user supplies at least a routine which computes the values of the objective function at a given point. Unless the user also provides a code for computing the (sub)gradient of the objective function, these (sub)gradients are calculated by the program itself using finite differences. For a constrained minimization problem, the user is required to supply additionally at least a routine which computes the maximal residual for a set of constraints at a given point. By analogy with the case of unconstrained optimization, the user may also provide a code for computing the (sub)gradient of a constraint function with the maximal residual at a point. Submitted: Jul 02, 1999

A Comparison of Simplex Method Algorithms 

This thesis compares five common implementations of the Revised Simplex Method, a popular algorithm for solving linear optimization problems.The particular implementations includes the original Revised Simplex Method, the BartelsGolub Method, the Sparse BartelsGolub Method, the ForrestTomlin Method, and Reid's Method. Each were implemented in MATLAB scripts and tested for total number of floating point operations, maximum data storage, and number of basis refactorizations. Submitted: Jul 01, 1999

MATLAB  faster scripts 

Some of the simpler ways to improve the speed of MATLAB programs are also amongst the most effective, leading to orderofmagnitude improvements. Submitted: Jun 13, 2005

MINQ  Quadratic Programming 

MINQ is a MATLAB program for bound constrained indefinite quadratic programming based on rank 1 modifications. Submitted: Jul 04, 1999

Software for Evolution Strategies 

Modern Evolution Strategies for optimization. This page offers the reference to various implementation for MATLAB/C++ using efficient step size control algorithms. Submitted: Apr 19, 2000

Differential Evolution (DE) for Continuous Function Optimization 

DE is a very simple population based, stochastic function minimizer which is very powerful at the same time. The crucial idea behind DE is a scheme for generating trial parameter vectors. Basically, DE adds the weighted difference between two population vectors to a third vector. This way no separate probability distribution has to be used which makes the scheme completely selforganizing. Submitted: Jul 02, 1999

Global and Nonsmooth optimization toolbox 

GANSO is a programming library for global and nonsmooth, nonlinear optimization. Unlike local methods (e.g., quasiNewton), global optimization methods aim at locating the absolute minimum of a function, not the nearest stationary point. GANSO toolbox provides an interface for calling GANSO methods from Matlab. The user manual describes various optimization strategies, complete syntaxis and several examples of Matlab code. Submitted: Nov 19, 2006

fminconset.m 

A function for general nonlinear optimization where some variables must belong to sets of discrete values. Useful where the underlying problem is (or can be formulated to be) continous. Submitted: Nov 05, 1999

GGPLAB: A Simple Matlab Toolbox for Geometric Programming 

GGPLAB is a Matlabbased toolbox for specifying and solving geometric programs (GPs) and generalized geometric programs (GGPs). GGPLAB consists of: a primaldual interiorpoint solver for GP (in convex form), a library of objects to support the specification of GPs and GGPs, and a variety of examples. Submitted: Dec 29, 2005

MATLAB Code for Intelligent Control 

Matlab Code for Kevin M. Passino's "Biomimicry for optimization, Control, and Automation" Submitted: Jun 08, 2005

Fast NNLS 

The following two files are fast versions of the Mfile NNLS supplied by Mathworks. The files given here are modifications of the NNLS mfile to ease comparison. Our own implementations were used in the paper referenced below. Submitted: Jul 03, 1999

LIPSOL 

LIPSOL is a MATLABbased package for solving linear programs by interiorPoint methods. For computational efficiency it uses a Fortran package by Esmond Ng and Barry Peyton at ORNL to solve large sparse linear systems. LIPSOL has been tested on the Netlib set of linear programs and has effectively solved all 95 Netlib problems. Submitted: Sep 21, 1998

lclmax.m 

pk = lclmax(x,p), 1D peak search down columns using peak half window width of p. Submitted: Jul 22, 1999

TORSCHE Scheduling Toolbox for Matlab 

TORSCHE Scheduling Toolbox for Matlab is a freely available toolbox of the scheduling algorithms. The toolbox offers a collection of data structures that allow the user to formalize various offline and online scheduling problems. Algorithms are simply implemented as Matlab functions with fixed structure allowing users to implement new algorithms. A more complex problem can be formulated as an Integer Linear Programming problem or satisfiability of boolean expression problem. The toolbox is intended mainly as a research tool to handle control and scheduling codesign problems. Therefore, we provide an interfaces to a realtime Matlab/Simulik based simulator TrueTime and a code generator allowing to generate parallel code for FPGA. Submitted: Jan 05, 2007

CVX 

CVX is an open source MATLAB based modeling package for convex optimization. The CVX web site includes links to courses, tutorials, and many example applications of convex optimization. The current version of CVX uses SDPT3 or SeDuMi as the underlying solver. Submitted: Aug 26, 2007

MATLAB interface for LBFGSB 

LBFGSB is a collection of Fortran 77 routines for solving nonlinear optimization problems with bound constraints on the variables. One of the key features is that the Hessian is not needed. I've written an interface so that the LBFGSB solver can be easily called from the MATLAB command line. Submitted: May 20, 2007

