Multivariate Quadratic
The code is written to find one mixed Nash equilibrium strategy apart from all pure Nash equilibria in a bimatrix or general sum two person matrix game. It is based upon the algorithm presented by O.L. Mangasarian in 1964. It uses quadprog to solve a quadratic programming problem for a two person...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (42): Bimatrix Game Download |
GloptiPoly is a MATLAB/SeDuMi add-on to build and solve convex linear matrix inequality (LMI) relaxations of the (generally non-convex) global optimization problem of minimizing a multivariablepolynomial function subject to polynomial inequality, equality or integer constraints.The software...
Platforms: Matlab
License: Freeware | Size: 40.96 KB | Download (40): GloptiPoly Download |
QUADPROG2 - Convex Quadratic Programming SolverFeaturing the SOLVOPT freeware optimizerNew for version 1.1:* Significant speed improvement* Geometric Preconditioning* Improved Error CheckingUSAGE:[x,v] = quadprog2(H,f,A,b)[x,v] = quadprog2(H,f,A,b,guess)[x,v,opt] = ...Minimizes the function v =...
Platforms: Matlab
License: Freeware | Size: 30.72 KB | Download (47): quadprog2 - convex QP solver Download |
Software described in and associated with the paper"Numerical algorithms and issues concerning the discrete-time optimal projection equations for systems with white parameters", Proceedings UKACC International Conference on Control '98, 1-4 Sept. 1998, University of Swansea, UK, Vol. 2,...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (43): Reduced-order inf. horizon time-inv. discr.-time LQG control for systems with white parameters Download |
This library has been designed to perform temporal disaggregation of economic time series using a variety of techniques: univariate methods without indicators (Boot-Feibes-Lisman, Stram-Wei), univariate methods with indicators (Denton, Chow-Lin, Fernandez, Litterman, Santos-Cardoso, Guerrero) and...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 3.63 MB | Download (40): Temporal Disaggregation Library Download |
These are the M-files that accompany the webinar titled "New Statistics Tools in MATLAB and the Statistics Toolbox." View the recorded webinar here:http://www.mathworks.com/wbnr8328This webinar goes through 2 demos, described below:1) Analysis of survival data from motion controllers - this demo...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 20.48 KB | Download (40): New Statistics Tools in MATLAB(R) and the Statistics ToolboxTM Download |
We propose a new global optimization algorithm based on a harmony search scheme, termed as harmony element string algorithm (abbreviated as HEA). The algorithm has five fundamental features: (1) The states of the system is represented by strings of elements {0,1,2,3,4} and hence the search of the...
Platforms: Matlab
License: Freeware | Size: 276.48 KB | Download (42): Harmony Element Algorithm Download |
The RSQP Toolbox is developed based on the theory of reduced Hessian successive quadratic programming for large scale optimization.The toolbox is a collection of functions that extend the capability of MATLAB Optimization Toolbox in solving optimization problems with(a)high dimensionality...
Platforms: Matlab
License: Freeware | Size: 358.4 KB | Download (39): RSQP Toolbox for MATLAB Download |
Arbitrary-order polynomial datum is fit to and extracted from input xy data. Outliers - defined based either on a non-parametric or mutliples-of-standard deviation criteria - are optionally identified and "set aside". The interative solution proceeds until there are no remaining outliers in the...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (39): Datum2D.m Download |
The code was generated according toT.S. Durrani, and R. Chapman. Optimal All-Pole Filter Design Based on Discrete Prolate Spheroidal Sequences. IEEE Transactions on Acoustics, Speech and Signal processing, Vol ASSP-32, No.4, August 1984.This filter design uses discrete prolate spheroidal...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (42): Durrani-Chapman Optimal All-Pole Lowpass Filter Design Download |
This is the algorithm involved on the use of the non-linear forecast of asset's prices based on the nearest neighbour method.The basic idea of the NN algorithm is that the time series copies it's own past behavior, and such fact can be used for forecasting purposes. On the zip file there are two...
Platforms: Matlab
License: Freeware | Size: 112.64 KB | Download (40): Nearest Neighbour Algorithm for Stock Prices Forecasts Download |
I have tested this code for a 15-dim MGHD PDF. Please take a look at the README for further details
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (38): Esitmation of Multivariate Generalized Hyperbolic Distributions (MGHD) Download |
Generally application is selecting Gauss-Legendre Quadratic integration method. In this sub function is directly application of homogen integration technique for triangular area and tetrahedral volumes.This tetrahedral sub functions results is collate Gauss #5# point integration triangular sub...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 706.56 KB | Download (54): Homogen Integrate on Triangular Area and Tetrahedral Volume Download |
This is sampling utility implementing Latin hypercube sampling from multivariate normal, uniform & empirical distribution. Correlation among variables can be sprecified.
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 61.44 KB | Download (40): Latin Hypercube Sampling Download |
Mex implementation of EM algorithm for multivariate Gaussian mixture. Multiple data/initial parameters are allowed by ND slices definition em_mvgm : Expectation-Maximization algorithm for Multivariate Gaussian Mixtures Usage ------- [logl , M , S , P] = em_mvgm(Z , M0 , S0 , P0 , [nbite]); Inputs...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 20.48 KB | Download (43): EM_MVGM Download |
A fast generator of gaussian mixture samples with a general ND dimensional calling syntax.Permit to sample from a simple multivariate process to several gaussian mixture in a easy way.Please run mexme_sample_mvgm.m to compile on your own platform. (Be sure to mex -setup is done before)
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (38): Fast ND multidimensional gaussian mixture random generator Download |
R = RCR(S) computes the semi-edge-length of the mean-centered hypercube with 95% probability given S, which is either a covariance matrix or a vector of standard deviations from a multivariate normal distribution. If S is a real, nonnegative vector, RCR(S) is equivalent to RCR(DIAG(S.^2)). Scalar...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 81.92 KB | Download (41): Rectangular Confidence Regions Download |
This zip file contains 2 functions to transform generic (nD) quadratic hyper-surfaces from homogeneous form (that is [x' 1]*E*[x;1]=0) to center form (that is (x'-c')*inv(Q)*(x-c)=1, which is used for example in the ellipsoidal toolbox).Examples:% zero-centered ellipse of semiaxes 1 and 2% center...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (45): quadforms Download |
Well, i made this function some time ago and its purpose was to fit the Universe of the Greek stock market. After having grabbed my information to some matrices, vectors, god knows what, i decided to use it to price interest rate derivatives! I wont tell how, but you might as well try it as...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (39): Multivariate NIG fit Download |
Two functions are included. The first is 'quadriorth.m' which calculates the orthants probabilities of the quadrivariate normal distribution. Imagine a 4-dimensional space divided into sub-spaces according to the sign of each variable, which results in 2^4 = 16 orthants, say + + + +, + + +...
Platforms: Matlab
License: Shareware | Cost: $0.00 USD | Size: 10 KB | Download (43): Qudrivariate and pentavariate normal orthant probabilities Download |