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Subject:

C optimiser and matrix inverter

From:

Petros Panayiotou <[log in to unmask]>

Reply-To:

Petros Panayiotou <[log in to unmask]>

Date:

Fri, 10 Dec 1999 14:54:07 +0000

Content-Type:

text/plain

Parts/Attachments:

Parts/Attachments

text/plain (65 lines)

Hello all

I would like to publicly thank all those who have replied to my previous
e-mail, regarding a C-optimiser and a matrix inverter (see end of message).
Very many thanks to Professor John C. Nash, (Professor of Management,
Faculty of Administration, University of Ottawa) for his repetitive answers
with regards his matrix inverter. 

He also directed me to Hans D. Mittelmann's homepage, at the Department of
Mathematics of Arizona State University, who, in turn, directed me to
Professor Andre Tits' homepage at the University of Maryland. I am waiting
for a copy of Professors Tits' optimiser that he will soon sent off. 
  
As far as the matrix inverter is concerned I would like to also thank Maya
Z. Marintcheva-Petrova,  a Ph.D. student at EURANDOM, Eindhoven for
suggesting the numerical recipes Singular Value Decomposition. 

Now, being my turn to give, I would also like to bring to your attention
the performance of the two matrix inverters I have used. In both cases I
have used the numerical recipes libraries and performed 1000 matrix
allocations and inversions.
Case A: Singular Value Decomposition   ~ 47seconds
Case B: Gauss - Jordan Eliminaation 	~0.4seconds

I am still looking for the C optimiser since I have not received one yet. 

As far as Professor Nash's matrix inverter I am willing to test it against
Numerical Recipes if he has time to look for it. 

Previous message
----------------------------------------------------------------------
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

----------------------------------------------------------------------
Thank you all again




Petros Panayiotou
Post-Doctoral Research Assistant
CQF
Imperial College

[log in to unmask]
http://www.ms.ic.ac.uk/petros
Tel: 0171 5949180

   


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