Contentsfiles used in the August 21, 2008 Webinar entitled "Tips and Tricks: Getting started using optimization with MATLAB". In that session, Stuart provides an overview of Optimization Toolbox and Global Optimization Toolbox with several examples, ranging from constrained curve fitting to general maximization problems. Stuart steps through a totally-cool illustrative example of maxima detection by attempting to locate the highest peak in a range of mountains. (Here, we can think of the topography as a analogy for an objective function.) File Exchange link to the files used in that Webinar. speeding up optimization problems, providing instruction for using the Parallel Computing Toolbox and MATLAB Distributed Computing Server to parallelize the calculation of optima. In this Webinar, Stuart minimizes the potential energy of electrons on a conducting body. He solves the optimization problem without the Parallel Computing Toolbox in about 84 seconds. Next, he opens a non-local 4-core cluster and re-solves the problem in parallel, simply by checking an "evaluate in parallel" checkbox. This time the same problem is solved in 25 seconds--approximately a 3.4x speedup. Not bad for checking a checkbox! Comments?
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I’m MSc student in control engineering and my area of research is optimization. Unfortunately I live in Iran and I can’t see the webinars. Would you please give me the files of your this post?
I’m waiting for your kind reply.
It appears that your inability to access our website has to do with our OFAC compliance; unfortunately, we are unable at this time to provide content or web access to Iran-based computers.
Is it possible to use a genetic algorithm or something for trading application. basically, i have a model which tries to find the optimal sharp ratio based on two inputs of different “Take Profits” and “Stopp Losses”. So far I use two nested for-loops with the inputs ranging from 5 to 100 for each of the two variables.
Would appreciate any help.
I’m not a finance person, but I passed your question by one of our engineers who is. To summarize/paraphrase his response:
It sounds like Tobias is just trying to do a two-variable optimization. FMINCON will do nicely, since Sharpe Ratio surfaces tend to be conveniently convex.
If he’s having issues of integer constraints or multiple maxima, then Global Optimization methods will be better.
In short, you might be able to use GA for that problem, but you’re better off trying something like FMINCON first.