Data fitting optimization problem

Submitted by chakssam on Thu, 11/10/2011 - 04:12

 

Hello Everyone

I am new here, i had a question regarding linpro function or karmarkar, i noticed first that linpro is obsolete.

Now the reason i am here, is to seek assistance with this problem

suppose you want to fit the data set { tau(t); I(t); B(t)} available in the workspace, with the model

τau(t) = q1.(I^q2).(B^q3)
 
1. Reformulate the problem as a linear optimization one and introduce
the constraints α2 < 0, α3 = 1.5 (Hint: transform the data using ln).
2. Write the corresponding Scilab algorithm using linpro
 
Thank you folks
Taxonomy upgrade extras: 
General

jessilucifer

Tue, 04/24/2012 - 10:45

When one adopts the definition that trading systems are processes that generate collections of entry and exit signals, then one will realize that what it is done, essentially, when any parameters are adjusted via back-testing is that the timing of the signals is varied so that they are fitted on historical data in such a way so that an objective function is optimized.STC Technologies