Optimization is a wide area that covers a large set of techniques used to find the minimum or maximum of a function over a predefined group of conditions. Optimization strategies are frequently employed in several areas of financial engineering such as portfolio optimization and as such should be part of the basic skill set of financial developers.
In this chapter, we discuss programming examples that explore a few of the implement aspects of optimization algorithms. We start with a concise explanation of some techniques and how they are typically implemented in C++. Topics covered ...
