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

Max bruche at cemfi.es
Fri Dec 16 09:45:34 CET 2005

Andrew Piskorski <atp <at> piskorski.com> writes:

> 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.)
I don't know about Gauss and Matlab, but Ox has a native SQP algorithm (in the
file src/solveqp.ox).

I would be interested to hear why you suspect that they would implement this
algorithm in Fortran or C, btw - wouldn't it be easier to implement/ integrate
with the various languages at a higher level?



PS: Note that Jurgen Doornik holds the copyright to the file mentioned (and the
rest of Ox, of course), and expressly disallows translating it into other
computing languages in the copyright notice at the beginning of the file.

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