Constrained Optimization
Author: Christos
Creation Date: 4/20/2012 4:51 AM
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Christos

#1

4/20/2012 4:51 AM

Is there any way to perform constrained optimisation?
For example: maximize profit of Strategy A by changing parameters a and b but always keep a * b < 2.
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Eugene

#2

4/20/2012 5:03 AM

Yes, by coding your own Optimizer:

Wealth-Lab Version 6 Development Guide > Create Optimizers
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Christos

#3

4/20/2012 5:06 AM


Sorry for posting in the wrong section..

I was afraid of that answer :( Just for the record I am not going to write an optimiser... so it would be very nice if you could enhance the optimiser in the future with some basic functionality of constrained optimisation.

Thanks
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Eugene

#4

4/20/2012 5:26 AM

Exactly to be able to customize (almost) every aspect of the application, it was designed as highly extensible. Enhancing the built-in exhaustive optimizer is not on the roadmap.

Here's a good starting point by avishn: Creating custom optimizer
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Christos

#5

4/20/2012 5:40 AM

Your help is greatly appreciated - thanks again Eugene
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