Package Optimizers

Package desription: Optimizers


Class Summary
BFGS BFGS minimizer for multivariate functions as described in NR.
ConstrainedDownhillSimplex Downhill simplex optimizer as described in NR and constrained to remain in a search domain.
DownhillSimplex Downhill simplex optimizer as described in NR.
LowDiscrepancySearch Extremely crude brute force optimizer.

Package Optimizers Description

Package desription: Optimizers

This package contains a number of optimizers coded out of Numerical Recipes as quickly as possible and without much thought or devotion. If this works for you be thankful. Multidimensional optimization is a nontrivial undertaking and a high quality implementation requires a significant amount of effort and expertise. I have no expertise in this field.

Here we have only a single application in mind: parameter optimization for exercise triggers used to price Bermudan style options. Miraculously the code which we have here can do that.