[R-sig-finance] Constrained Log-Likelihood with SQP Solver
atp at piskorski.com
Wed Dec 14 14:43:06 CET 2005
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>
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