[Ipopt] Thank you

[Alan Young]

Krish
Congratulations!
I would be extremely interested in seeing what you have developed.
Thanks
Alan Young
alan at ufindme.net
 

-----Original Message-----
From: ipopt-bounces at list.coin-or.org [mailto:ipopt-bounces at list.coin-or.org]
On Behalf Of Krish Krishnan
Sent: Monday, August 18, 2008 6:58 PM
To: ipopt at list.coin-or.org
Subject: [Ipopt] Thank you

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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