Re: 3. optimization under positivity constraint (djiba fofana)
Locked
 
|
3. optimization under positivity constraint (djiba fofana)
4. ??: optimization under positivity constraint (??) bonne année 2012. feliz año 2012.. @djiba please, have a look at : Introduction to Selected Classes of the QuantLib Library II (D.Reiswitch), that you can download from the main documentation page of QL : http://quantlib.org/docs.shtml in this pdf document, Dimitri plays around with the Rosenbrock function. @cheng thank you for your snippet. your comments about the performance of QL in dealing with constrained optimization is frightening! has that poor performance been recurring in your trials so far ? //////////////////////////////////////////// Hi all, I'm working on the approximation of missing value of funds which can be solve by using Optimization under positivity constraint. Is quantLib treat the minimization's programm? can anyone refer me where can i find some examples of the resolution of this kind of problem? Thanks in advance and happy new year Hi djiba, As far as I know, Quantlib has such interface for constrained optimization. You can find the base class for constraint condition is located in the file /ql/math/optimization/constraint.hpp. There is a class named PositiveConstraint defined in the same file which may meet your requirement. You can define an object of this class and simply pass this object to the problem’s constructer which located in the file/ql/math/optimization/problem.hpp. Then you are working in the framework for constrained optimization. However be cautious with the results of such optimization. As I know, the optimization engines in the Quantlib (such as BFGS or LM) are good for non-constrained problems. But their effectiveness in constrained situation is doubtful. I have set up a small test case as a least square problems for this ( test for Simplex, BFGS, ConjugateGradient, LevenbergMarquardt methods) Min(Sum(x_i �C i +5)^2), i=0 … 9. The initial guess is set as (1,2,3,4,5,6,7,8,9,10) 1. For no constraint problem, all the above 4 methods converge to the correct solution (-5,-4,-3,-2,-1,0,1,2,3,4) sooner or later. 2. For positive constraint, the above 4 methods converge to the solutions as below a) Simplex(Lambda = 10) : (2.54607 ,0.0480329 ,0.332641 ,1.77335e-014 ,0.00511769 ,0.615131 ,1.54132 ,2.06168 ,3.10397 ,4.35003) b) Conjugate Gradient: (1.74867e-008 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9) c) BFGS: (2.57966e-008 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9) d) LevenbergMarquardt: (3.46817e-007 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9 ) All the above are not close enough to the correct answer (0,0,0,0,0,0,1,2,3,4). I have attached the source file for your reference. Regards, Cheng 发件人: djiba fofana [mailto:[hidden email]] 发送时间: 2012年1月1日 2:06 收件人: [hidden email] 主题: [Quantlib-users] optimization under positivity constraint Hi all, I'm working on the approximation of missing value of funds which can be solve by using Optimization under positivity constraint. Is quantLib treat the minimization's programm? can anyone refer me where can i find some examples of the resolution of this kind of problem? Thanks in advance and happy new year ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
Re: 3. optimization under positivity constraint (djiba fofana)
|
|
Thanks a lot for your replying quickly and helping me.
2012/1/1 Edouard Tallent <[hidden email]> 3. optimization under positivity constraint (djiba fofana) ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
|
|
In reply to this post by tallent_e
Hi Edouard,
This phenomenon occurs often for the constrained problem. In this particular case, using different initial guess won't help much. I have look into the codes. The quanlib deals with the constraint by using a simple strategy: for the linesearch method , just test the constraint. If test fail, half the line step, otherwise accept the line step. As far as I know, this strategy is not so sophiscated enough for the constrained problem. Regards, Cheng -----邮件原件----- 发件人: Edouard Tallent [mailto:[hidden email]] 发送时间: 2012年1月2日 2:59 收件人: [hidden email] 主题: Re: [Quantlib-users] 3. optimization under positivity constraint (djiba fofana) 3. optimization under positivity constraint (djiba fofana) 4. ??: optimization under positivity constraint (??) bonne année 2012. feliz año 2012.. @djiba please, have a look at : Introduction to Selected Classes of the QuantLib Library II (D.Reiswitch), that you can download from the main documentation page of QL : http://quantlib.org/docs.shtml in this pdf document, Dimitri plays around with the Rosenbrock function. @cheng thank you for your snippet. your comments about the performance of QL in dealing with constrained optimization is frightening! has that poor performance been recurring in your trials so far ? //////////////////////////////////////////// Hi all, I'm working on the approximation of missing value of funds which can be solve by using Optimization under positivity constraint. Is quantLib treat the minimization's programm? can anyone refer me where can i find some examples of the resolution of this kind of problem? Thanks in advance and happy new year Hi djiba, As far as I know, Quantlib has such interface for constrained optimization. You can find the base class for constraint condition is located in the file /ql/math/optimization/constraint.hpp. There is a class named PositiveConstraint defined in the same file which may meet your requirement. You can define an object of this class and simply pass this object to the problem’s constructer which located in the file/ql/math/optimization/problem.hpp. Then you are working in the framework for constrained optimization. However be cautious with the results of such optimization. As I know, the optimization engines in the Quantlib (such as BFGS or LM) are good for non-constrained problems. But their effectiveness in constrained situation is doubtful. I have set up a small test case as a least square problems for this ( test for Simplex, BFGS, ConjugateGradient, LevenbergMarquardt methods) Min(Sum(x_i C i +5)^2), i=0 … 9. The initial guess is set as (1,2,3,4,5,6,7,8,9,10) 1. For no constraint problem, all the above 4 methods converge to the correct solution (-5,-4,-3,-2,-1,0,1,2,3,4) sooner or later. 2. For positive constraint, the above 4 methods converge to the solutions as below a) Simplex(Lambda = 10) : (2.54607 ,0.0480329 ,0.332641 ,1.77335e-014 ,0.00511769 ,0.615131 ,1.54132 ,2.06168 ,3.10397 ,4.35003) b) Conjugate Gradient: (1.74867e-008 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9) c) BFGS: (2.57966e-008 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9) d) LevenbergMarquardt: (3.46817e-007 ,1 ,2 ,3 ,4 ,5 ,6 ,7 ,8 ,9 ) All the above are not close enough to the correct answer (0,0,0,0,0,0,1,2,3,4). I have attached the source file for your reference. Regards, Cheng 发件人: djiba fofana [mailto:[hidden email]] 发送时间: 2012年1月1日 2:06 收件人: [hidden email] 主题: [Quantlib-users] optimization under positivity constraint Hi all, I'm working on the approximation of missing value of funds which can be solve by using Optimization under positivity constraint. Is quantLib treat the minimization's programm? can anyone refer me where can i find some examples of the resolution of this kind of problem? Thanks in advance and happy new year ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users ------------------------------------------------------------------------------ Ridiculously easy VDI. With Citrix VDI-in-a-Box, you don't need a complex infrastructure or vast IT resources to deliver seamless, secure access to virtual desktops. With this all-in-one solution, easily deploy virtual desktops for less than the cost of PCs and save 60% on VDI infrastructure costs. Try it free! http://p.sf.net/sfu/Citrix-VDIinabox _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
«
Return to quantlib-users
|
1 view|%1 views
| Free forum by Nabble | Edit this page |