Simplex

Simplex

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Creates a Multi-dimensional simplex optimisation object used within calibration functions.

The implementation of the algorithm was inspired by Press, Teukolsky, Vetterling, and Flannery, 'Numerical Recipes in C', 2nd edition, Cambridge University Press.

This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "SIMPLEXOM"

Note: Within Excel, the function is named - CT.CALIB.Simplex

High level graphic of Simplex() function with parameters. Blue square node is the actual function with the parameters ordered.

Parameter Description

Key parameter

Key value to use as a handle for the created object
Reload parameter

When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
lambda parameter

Lambda value (the characteristic length) to be passed to the simplex optimizer (ie - 0.5).
tolerance parameter

tolerance.
MaxNoOfIterations parameter

Maximum number of iterations.

Extended information

Function Syntax

Parameter data types

ArgName	ArgType	IsKey
Key	String	FALSE
Reload	Long	FALSE
lambda	Double	FALSE
tolerance	Double	FALSE
MaxNoOfIterations	Long	FALSE

Example Inputs

ArgName	IsOptional (Excel only)	Example
Key	FALSE	MySimplex
Reload	FALSE	1
lambda	FALSE	0.5
tolerance	TRUE	0.0001
MaxNoOfIterations	FALSE	100

Example function usage

The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.

If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.Models20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the Simplex() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.

The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the Simplex() function call

MySimplex_2.SIMPLEXOM.0