Constrained Optimization MT
COMT solves the Nonlinear Programming problem, subject to general constraints on the parameters - linear or nonlinear, equality or inequality, using the Sequential Quadratic Programming method in combination with several descent methods selectable by the user.
COMT’s ability to handle general nonlinear functions and nonlinear constraints along with other features, such as the Trust Region Method, allow you to solve a wide range of sophisticated optimization problems. Built on the speed and number crunching ability of the GAUSS platform, COMT quickly computes solutions to large problems, making it ideal for large scale Monte Carlo or Bootstrap optimizations.
Version 2.0 is easier to use than ever!
- New syntax options eliminate the need for PV and DS structures:
- Decreasing the required code up to 25%.
- Decreasing runtime up to 20%.
- Simplifying usage.
- Optional dynamic arguments make it simple and transparent to add extra data arguments beyond model parameters to your objective function.
- Updated documentation and examples.
- Fully backwards compatible with COMT 1.0.
Requirements: GAUSS/GAUSS Engine/GAUSS Light v16 or higher