[Ipopt] Thank you

[Krish Krishnan]

Dear All:

1I have just successfully completed a massive project where I build a portfolio optimizer which interfaces with SQL server, accepts user intervention and uses IPopt for the actual optimization.  Currently I uses a universe of 500 securities but there is no limit.  The idea here is to maximize a utility function which is quadratic subject to linear constraints.  In a few tests (more to be conducted) the problem is solved in as few as 15 iterations even when the starting point is very imprecise. At present I deal only with a long portfolio, but plan to optimize long-short portfolios too. The project took me about two months start to finish, and I am not even a programmer!  (When I did my Ph.D, we worked on  VAX 11s and I learnt c++ on my own in the late eighties :)).

I am extremely pleased with the design and functioning  of the Ipopt code.

Many thanks ro all of you for answering my usually silly questions.  I want to thank Stefan Vigerske in particular.  His insights and help put me on the right track.

Once the user interface is ready, I will try to upload screenshots.  Is there any place I can load this to or can I send it to one of you?

Thanks again

Krish



      
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