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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 large-scale optimization of nonlinear problems. Additional tools are provided for linear programming, quadratic programming, nonlinear least-squares, and solving nonlinear equations.
Submitted: Jul 02, 1999
Optimization M-files  
User contributed optimization m-files 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 M-files 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
A modified version of Levenberg-Marquardt Non-Linear 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
The program SolvOpt (Solver for local optimization problems) is concerned with minimization or maximization of nonlinear, possibly non-smooth objective functions and with the solution of nonlinear programming problems taking into account constraints by the so-called 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 Bartels-Golub Method, the Sparse Bartels-Golub Method, the Forrest-Tomlin 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 order-of-magnitude 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 self-organizing.
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., quasi-Newton), 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
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 Matlab-based toolbox for specifying and solving geometric programs (GPs) and generalized geometric programs (GGPs). GGPLAB consists of: a primal-dual interior-point 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 M-file NNLS supplied by Mathworks. The files given here are modifications of the NNLS m-file to ease comparison. Our own implementations were used in the paper referenced below.
Submitted: Jul 03, 1999
LIPSOL is a MATLAB-based package for solving linear programs by interior-Point 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
pk = lclmax(x,p), 1-D 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 off-line and on-line 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 co-design problems. Therefore, we provide an interfaces to a real-time Matlab/Simulik based simulator TrueTime and a code generator allowing to generate parallel code for FPGA.
Submitted: Jan 05, 2007
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 L-BFGS-B  
L-BFGS-B 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 L-BFGS-B solver can be easily called from the MATLAB command line.
Submitted: May 20, 2007

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