[R-sig-finance] Constrained Log-Likelihood with SQP Solver

[Andrew Piskorski]

On Tue, Dec 13, 2005 at 01:18:16PM +0000, Diethelm Wuertz wrote:

> Modern state of the art algorithms, like SQP algorithms as
> implemented in Gauss, Matlab, Ox, take about a few seconds.

I'm curious, to these other languages implement these SQP algorithms
natively, or are they too calling underlying Fortran or C libraries?
(I strongly suspect the latter.)

-- 
Andrew Piskorski <atp at piskorski.com>
http://www.piskorski.com/