Monte carlo simulation optimisation framework C#

John TRD

John TRD

Joined
4/6/15
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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?
 
Daniel Duffy said:
Your post is not clear. Can you rephrase it.

Are you trying to optimize a multi-variable function?
Click to expand...
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?
 
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
 
Daniel Duffy said:
What is your function precisely and is it constrained etc.
Click to expand...
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
 
John TRD said:
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
Click to expand...
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?
 
Daniel Duffy said:
Start here.
Duffy i saw your profile ,you know a lot about optimization

A little bit, not exactly my core skill set.
Click to expand...
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)
 
Daniel Duffy said:
Do some research and get back.

http://www.alglib.net/optimization/
Click to expand...
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)
 
John TRD said:
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?
Click to expand...

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".
 
Daniel Duffy said:
"feed me".
Click to expand...
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
 
John TRD said:
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
Click to expand...
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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