Bayesian Portfolio Optimization
It is a hill climbing optimization algorithm for finding the minimum of a fitness function in the real space. The space should be constrained and defined properly. It attempts steps on every dimension and proceeds searching to the dimension and the direction that gives the lowest value of the...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (51): Hill climbing optimization Download |
This submission contains the demo files used in the Global Optimization with MATLAB webinar: http://www.mathworks.com/wbnr43346MultStart Demos * Peaks Minimization * Nonlinear Curve FittingGlobalSearch Demos * Peaks Minimization * Volumentric Efficiency MaximizationSimulated Annealing Demos *...
Platforms: Matlab
License: Freeware | Size: 1.19 MB | Download (52): Global Optimization with MATLAB Download |
This is an accelerated PSO (APSO), developed by Xin-She Yang in 2008. APSO does not use velocities or any inertia parameter.A full program for solving nonlinear constrained optimization problem (welded beam design as an example) is provided, which can be extended to solve other continuous...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (45): Accelerated Particle Swarm Optimization Download |
The Particle Swarm Optimization Research Toolbox was written to assist with thesis research combating the premature convergence problem of particle swarm optimization (PSO). The control panel offers ample flexibility to accommodate various research directions. After specifying your intentions,...
Platforms: Matlab
License: Freeware | Size: 1.92 MB | Download (42): Particle Swarm Optimization Research Toolbox Download |
Demo files for MathWorks webinar "Introduction to Simulink Design Optimization" which occured on 3/26/2009.The recording is available here:http://www.mathworks.com/company/events/we...59&p2=493937477
Platforms: Matlab
License: Freeware | Size: 358.4 KB | Download (53): Introduction to Simulink Design Optimization Download |
Introduction to Stochastic Search and Optimization is an overview of the principles, algorithms, and practical aspects of stochastic optimization, including applications drawn from engineering, statistics, and computer science. The book may serve as either a reference book for researchers and...
Platforms: Matlab
License: Freeware | Size: 30.72 KB | Download (47): Stochastic Search and Optimization Download |
Implements the Complex Method of Constrained Optimization, as proposed by Box (1965), improved by Guin (1968) and Krus (1992), and following the method in Andresson (2001). This is capable of optimizing a "black-box" system with few constraints on the optimization function and requiring no...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (41): Complex Method of Optimization Download |
It estimates the Newton Raphson optimization procedure for (m) unknowns of (n) non-linear equations. In case no Jacobian vector is presented, then the initial Jacobian vector is estimated by Broyden Method (multivariate secant approach) and it is then updated using the Sherman Morrison...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (52): Newton Raphson Optimization Procedure Download |
Non Convex Optimization Algorithms for Group SparsitySolves a dummy OFDM sparse channel estimation problemReweighted Lm,p algorithm for noiseless case min||x||_m,p s.t. y = AxReweighted Lm,p algorithm for noisy case min||x||_2,p s.t. ||y - Ax||_qSmoothed L2,0 algorithm solves a smooth version...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (47): Non Convex Algorithms for Group Sparse Optimization Download |
Estimating plant model parameters and tuning controllers are challenging tasks. Optimization-based methods help to systematically accelerate the tundlTCing process and let engineers tune multiple parameters at the same time. Further efficiencies can be gained by running the optimization in a...
Platforms: Matlab
License: Freeware | Size: 952.32 KB | Download (42): Improving Simulink Design Optimization Performance Using Parallel Computing Download |
M-files accompanying the webinar titled "New Approaches to Constrained Optimization in MATLAB" held on November 05, 2005These files provide what you need to run the two demos:1) The first demo is a demonstration of bound constrained optimization of non-smooth objective function using GA and also...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (45): New Approaches to Constrained Optimization in MATLAB Download |
We present a set of functions based on interval arithmetic to solve small size global optimization problems with guaranteed bounds on solutions. Interval analysis can be used to bound ALL solutions of nonlinear optimization problem, equality constrained or not as well to bound ALL solutions of a...
Platforms: Matlab
License: Freeware | Size: 51.2 KB | Download (41): INTSOLVER: An interval based solver for Global Optimization Download |
This folder contains a word document (optimization_problem_wth_solution.doc) that contains a description for an optimization problem along with its solution. The folder contains two m-script file that contain the solution for the Gradient_Descent_minimum and Gradient_Descent_maximum problems...
Platforms: Matlab
License: Freeware | Size: 819.2 KB | Download (41): Derivative-based Optimization Download |
Matlab Toolbox for Submodular Function Optimization (v 2.0)By Andreas Krause (krausea@gmail.com).Slides, videos and detailed references available at http://www.submodularity.orgTested in MATLAB 7.0.1 (R14), 7.2.0 (R2006a), 7.4.0 (R2007a, MAC), 7.9.0 (MAC)This toolbox provides functions for...
Platforms: Matlab
License: Freeware | Size: 266.24 KB | Download (40): Submodular Function Optimization Download |
Ok, yes, my expectation was that when I saw this, before I downloaded it I expected it to be a student's homework assigment. In fact, this is a reasonably carefully crafted tool.One serious issue is that this code requires you to provide explicit functional forms for the gradient and Hessian....
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (39): Unconstrained optimization using Newton Download |
New users and old of optimization in MATLAB will find useful tips and tricks in this document, as well as examples one can use as templates for their own problems.Use this tool by editing the file optimtips.m, then execute blocks of code in cell mode from the editor, or best, publish the file to...
Platforms: Matlab
License: Freeware | Size: 92.16 KB | Download (45): Optimization Tips and Tricks Download |
A 4 DOF arm based on the Motoman IA20 was built in AutoDesk Inventor. SimMechanics is used to generate a Simulink model. This model generates the dynamics for the robot implicitly, so there is no need to solve the equations of motion by hand. The dynamics are used by an control optimization...
Platforms: Matlab
License: Freeware | Size: 2.25 MB | Download (46): Control optimization of a 4DOF arm using DIDO Download |
The code performs a minimax optimization on a Simulinkk model consisting of empirically-derived human operator informatic parameters and real world nonlinearities. The tool finds solutions for the design of an input device (design variables are control gains) that interfaces human operators with...
Platforms: Matlab
License: Freeware | Size: 20.48 KB | Download (40): Input Device Optimization tool Download |
To walk through the code and for a thorough description, refer toA. Meucci, (2010) "Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management",Latest version of code and article available at http://symmys.com/node/141
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (41): Linear versus Compounded Returns: Common Pitfalls in Risk and Portfolio Management Download |
The code is explained in the article: Okunev, Pavel, "Fast Computation of the Economic Capital, the Value at Risk and the Greeks of a Loan Portfolio in the Gaussian Factor Model" (July 1, 2005). http://ssrn.com/abstract=758505 This implements one factor Gaussian model. [pd]=pdgs(L,w,p,LL,N) L =...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (44): Cumulative Distribution Function of CDO Loan Portfolio Loss in the Gaussian Factor Model Download |