Hello everybody,
I am currently writing a C program to optimise a nonlinear function
(multivariate
GARCH likelihood). However, I wish to have minimum dependency on external
libraries
but I need a NONLINEAR optimiser that handles LINEAR constraints. Is anyone
aware of
any stand alone optimisers from the web or anywhere else?
Similarly, is anyone aware of any matrix inverion C code?
Thanking you all
Petros Panayiotou
Post-doctoral Research Assistant
CQF
Imperial College
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