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CAMRADATA Models Dependencies for Quantitative Risk Assessment with MathWorks Tools

"In financial analysis, everything is changing very quickly, and it would be impossible to keep up using any other software tool. With MATLAB we are developing a new solution almost every week. I’ve tried other tools, and I firmly believe that MATLAB is the quickest way of getting to the answers." -  Martyn Dorey, CAMRADATA

EIM Group Develops Quantitative Tools for Hedge Fund Portfolio Management


“With MathWorks tools, we provide answers to complex portfolio management questions rapidly. Responding quickly to our clients with quantitative analysis is a competitive advantage for EIM." - Dr. Stéphane Daul, EIM Group

Optimization Toolbox

Description

Solving Optimization Problems Using Parallel Computing

Optimization Toolbox can be used with Parallel Computing Toolbox™ to solve problems that benefit from parallel computation. You can use parallel computing to decrease time to solution by enabling built-in parallel computing support or by defining a custom parallel computing implementation of an optimization problem.

Built-in support for parallel computing in Optimization Toolbox enables you to accelerate the gradient estimation step in select solvers for constrained nonlinear optimization problems and multiobjective goal attainment and minimax problems.

 

Optimization Toolbox Solving Optimization Problems Using Parallel Computing 42170 wm op useparalleloption w

Accelerating time to solution for an electrostatics problem using the built-in support for parallel computing in a nonlinear programming solver. The built-in functionality is enabled by specifying the UseParallel option (left) for the objective (middle right) and constraint (bottom right) functions, with the solution shown in the top right.


You can customize a parallel computing implementation by explicitly defining the optimization problem to use parallel computing functionality. You can define either an objective function or a constraint function to use parallel computing, enabling you to decrease the time required to evaluate the objective or constraint.

 

Optimization Toolbox Solving Optimization Problems Using Parallel Computing 242167 wm op suspensiondesign w

 

Accelerating time to solution (top right) for a suspension system design (bottom left and bottom right) subject to uncertainty by customizing the objective function with a single line change in code (top left).