Discussing the article: "ALGLIB library optimization methods (Part I)"

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Check out the new article: ALGLIB library optimization methods (Part I).

In this article, we will get acquainted with the ALGLIB library optimization methods for MQL5. The article includes simple and clear examples of using ALGLIB to solve optimization problems, which will make mastering the methods as accessible as possible. We will take a detailed look at the connection of such algorithms as BLEIC, L-BFGS and NS, and use them to solve a simple test problem.

The standard delivery of the MetaTrader 5 terminal includes the ALGLIB library, which is a powerful tool for numerical analysis that can be useful for trading system developers. The ALGLIB library offers the user a wide range of numerical analysis methods, including:

  • Linear algebra - solving systems of linear equations, calculating eigenvalues and vectors, matrix decomposition.
  • Optimization - methods of one-dimensional and multi-dimensional optimization.
  • Interpolation and approximation - polynomial and spline interpolation, approximation of functions using least squares methods.
  • Numerical integration and differentiation - integration methods (trapezoids, Simpson, etc.), numerical differentiation.
  • Numerical methods for solving differential equations - ordinary differential equations and numerical methods.
  • Statistical methods - parameter estimation, regression analysis, random number generation.
  • Fourier analysis: fast Fourier transform.

The deterministic optimization methods presented in ALGLIB are based on various variations of gradient descent and allow the use of both analytical and numerical approaches. In this article, we will focus on numerical methods, as they are most suitable for practical tasks of traders.


Author: Andrey Dik

 
Thanks, that's interesting.
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