Monte carlo simulation optimisation framework C#

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Looking for framework where i can find maximum of function with many parameters.
Sample howto find maximum of function with montecarlo,or what i should loking for?
 
Your post is not clear. Can you rephrase it.

Are you trying to optimize a multi-variable function?
 
Your post is not clear. Can you rephrase it.

Are you trying to optimize a multi-variable function?
Yes,exactly/I already know how many parameters it have . I am entering range and step. Range [0..10] Step 2. Which else algorithms for multi-variable function optimization do y know?
 
What is your function precisely and is it constrained etc.
 
It is time series analysing (think like black box with parameters)
There are strategy backtesting for example sma(6) crossover sma (100)
5 and 100 is my parameters A and B, I can (optional give them range and step for better optimising algorithm performaance) There are geentic algorithms for this task, particle swarm ETC

Which algorithms do you know for this task&What y can recommend&Any ideas?
Duffy i saw your profile ,you know a lot about optimisation
 
What is your function precisely and is it constrained etc.
http://stackoverflow.com/questions/1211201/free-optimization-library-in-c-sharp

What do y think about thislist

What i should use for multivariable function optimisation?
  • Numerical provides a variety of algorithms including:
    • Chromosome Manager
    • Genetic Optimizer
    • Hill Climbing Optimizer
    • Maximizing Point
    • Maximizing PointFactoy
    • Maximizing Vector
    • Minimizing Point
    • Minimizing Point Factory
    • Minimizing Vector
    • Multi Variable General Optimizer
    • Multi Variable Optimizer
    • One Variable Function Optimizer
    • Optimizing Bracket Finder
    • Optimizing Point
    • Optimizing Point Factory
    • Optimizing Vector
    • Simplex Optimizer
    • Vector Chromosome Manager
    • Vector Genetic Optimizer
    • Vector Projected Function
 
http://stackoverflow.com/questions/1211201/free-optimization-library-in-c-sharp

What do y think about thislist

What i should use for multivariable function optimisation?
  • Numerical provides a variety of algorithms including:
    • Chromosome Manager
    • Genetic Optimizer
    • Hill Climbing Optimizer
    • Maximizing Point
    • Maximizing PointFactoy
    • Maximizing Vector
    • Minimizing Point
    • Minimizing Point Factory
    • Minimizing Vector
    • Multi Variable General Optimizer
    • Multi Variable Optimizer
    • One Variable Function Optimizer
    • Optimizing Bracket Finder
    • Optimizing Point
    • Optimizing Point Factory
    • Optimizing Vector
    • Simplex Optimizer
    • Vector Chromosome Manager
    • Vector Genetic Optimizer
    • Vector Projected Function
Start here.


Duffy i saw your profile ,you know a lot about optimization

A little bit, not exactly my core skill set.
 
Last edited:
Ok i will make research,but maybe you can reccomend to me something&What is you r favorite method for optimisation?
 
Start here.
Duffy i saw your profile ,you know a lot about optimization

A little bit, not exactly my core skill set.
What does it mean Gradinet function?Can i use it for my task?
Which optimisation algorithms have boundaries (X (0...100) etc and (maybe steps)
 
L-BFGS and CG
Unconstrained optimization. Function gradient is needed.

Levenberg-Marquardt algorithm
Unconstrained or boundary constrained optimization.

Bound and linear equality/inequality constrained optimization
Linearly constrained optimization.

Constrained quadratic programming with box/linear constraints

ALL theese methods require gradints and looks like they are not for me
Or i am wrong&How i can write gradient?

You can help me if just say Which method i shoud choose? maybe you know one or two good?
 
>There are strategy backtesting for example sma(6) crossover sma (100)
If it is a real-life example, just try a brute force: a short SMA usually varies from 3 to 21 days (common value is 14) and the long SMA from 50 to 200 days (the latter is most common).
Totally you have about 3000 combinations, which is a piece of cake for a brute force search.

P.S.
I analyzed this problem and come to conclusion that:
1) MA Crossover beats Buy&Hold in case of German DAX but not in case of DJ30.
2) Optimization of MA-parameters does not bring anything significant, compared to SMA(14)+SMA(200)
 
Yes i am using brute force/But if i have 3- parametrs it is too long so i need another method. What can you reccomend?

Well, brute force will also cope with 3 parameters, esp. if they are integers (like number of days in SMA). If you know CUDA/GPU you can accelerate your code upto 1000 times, have a look at my paper(links to code is available in footnotes on page 9): http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2259133

If you don't know CUDA, there some compilers that can do the job for you, essentially you just need to add #pragma acc parallel before your loop: http://on-demand.gputechconf.com/gtc-express/2011/presentations/OpenACC_1_0_intro_jan2012.pdf
(Disclaimer, I didn't try OpenACC myself, when I need the power of GPU I usually program in CUDA directly).
 
This is a weird and confused thread that has nothing to do with the title

"Monte carlo simulation optimisation framework C#"

Feels more like "feed me".
 
"feed me".
Daniel i red your interview in moneyscience.Very intresting
I found on their site information about multi-level Monte-carlo, dynamic mc
Did you tried it?
www.moneyscience.com/mod/file/download.php?file_guid=545543
 
YES, monte carlo i just one of many oways to optimize function
I thought my question is very simple
But now i understood that i need not just simple monte carlo.
I am looking for multi level monte carlo
https://people.maths.ox.ac.uk/gilesm/mlmc.html
Daniel,maybe you know something about it? or know simillar algorithms?
https://people.maths.ox.ac.uk/gilesm/talks/mcqmc12_giles.pdf
I am an external advisor at unis.Here are theses from 2014 (See #1326297 => MLMC)
http://www.datasimfinancial.com/forum/viewtopic.php?f=198&t=1198
 
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