is the premier solver for all types of nonlinear optimization
in financial applications.
||Large scale computations.
The Interior Point algorithms are
designed for large problems,
offering a variety of options to best handle the structural
sparsity of particular functions. 64-bit versions are not
bound by the 2 Gbyte memory limit of 32-bit machines.
The multi-start option can explore
nonconvex problem domains to find better solutions.
||Real time applications.
The shared object library can be safely embedded in a multithreaded
application, running separate copies of KNITRO to serve client
requests. Related optimization problems can be solved rapidly
by warm starting the
Active Set algorithm.
KNITRO is used in commercial applications for:
- Portfolio Optimization
- Optimal Pricing
- Risk Management
- Credit Risk
- Strategic Bidding and Auctions (Nash equilibrium)
- Demand Optimization
- Nonlinear Least Squares (data fitting)
Nonlinear Optimization Methods with Financial
John Birge summarizes financial applications and the role
that nonlinear optimization methods play in their solution.
Professor Birge is a faculty member of the University of
Chicago Graduate School of Business, and consults
for Ziena Optimization. January 2007.
PDF, 6 pages, 160k.
||The ZIENA Solver for American Options Pricing. Jorge Nocedal discusses the robustness, speed, and ease of use of the Ziena software engine for real-time trading of options. Professor Nocedal is on the faculty at Northwestern University, McCormick Engineering, Department of Electrical Engineering and Computer Science. February 2008. PDF, 2 pages
| © 2001-2011 Ziena Optimization LLC | KNITRO®
is developed by Ziena and is distributed worldwide by Artelys