The Solver Platform SDK includes a Quadratic Solver extension to
its Simplex-based Solver for linear programming problems. This
LP/Quadratic Solver easily handles "efficient
portfolio" models, using the Markowitz
or Sharpe methods, with up to 8,000 variables in its
basic configuration. The Solver Platform
SDK is highly recommended if you are solving portfolio
optimization problems.
Below is an excerpt of example code to define and solve an efficient portfolio problem using
the SDK's Quadratic Solver. The syntax is that of C#, but the code
is nearly identical in C++, Visual Basic and VB.NET, and very
similar in Java and MATLAB. Complete source code for this and
17 other examples, in all of the supported languages, is included in the Solver Platform
SDK example
files.
// Define a problem object
Problem problem = new Problem(Solver_Type.Minimize, nvars, ncons);
// Set coefficients of the Hessian of the
quadratic objective
problem.Model.FcnQuadratic[Function_Type.Objective, 0] =
new DoubleMatrix(Array_Order.ByCol, nvars, nvars,
qmatval);
// Set coefficients of the linear
constraints
problem.Model.AllLinear[Function_Type.Constraint] =
new DoubleMatrix(Array_Order.ByCol, ncons, nvars,
matval);
// Define bounds on the variables and
constraints
problem.FcnConstraint.UpperBound.Array = rhs;
problem.FcnConstraint.LowerBound.Array = lhs;
problem.VarDecision.UpperBound.Array = ub;
problem.VarDecision.NonNegative();
// Find the optimal solution in
problem.VarDecision.FinalValue
problem.Solver.Optimize();
Banks, brokerage firms and mutual funds
have been using our Quadratic Solver for years. And the Solver Platform
SDK has been deployed on Intranet and
Web servers in large-scale applications by several "household name" financial
services companies.
New in the Solver Platform SDK is the ability to
efficiently solve quadratically constrained (QCP) problems
and second order cone programming (SOCP) problems, using the
SDK's built-in SOCP Barrier Solver or the plug-in MOSEK Solver
Engine. These problems arise frequently in quantitative
finance, and the Solver Platform SDK is the first commercial product
to offer comprehensive support for such problems.
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