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Hi guys,
This project is interesting and I want to participate as a developer. I have PhD degree in computational physics and several years experience in Monte Carlo programming. Just submitted a patch adding HyperSphere salvage algorithm to PseudoSqrt. Best, Yiping |
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On Sun, 2006-10-01 at 11:59 -0400, Yiping Chen wrote:
> This project is interesting and I want to participate as a developer. > I have PhD degree in computational physics and several years > experience in Monte Carlo programming. > Just submitted a patch adding HyperSphere salvage algorithm to > PseudoSqrt. Yiping, thanks for the patch. I'll have a look at it as soon as I have a bit of free time so that we can include it in next release. Later, Luigi ---------------------------------------- Quote me as saying I was misquoted. -- Groucho Marx |
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In reply to this post by Yiping Chen
Hi Yiping,
> Just submitted a patch adding HyperSphere salvage algorithm to > PseudoSqrt. Luigi added your patch to the CVS, but I noticed it only works for correlation matrices, it fails with covariance matrices. The Spectral alternative approach works in both cases. It's probably just a normalization issue, would you consider looking into it? Besides you might want to consider the lower diagonal parametrization of the pseudo square root. This would make the optimization algorithm much more efficient by reducing the parameter by a factor of 2. Details about this approach can be found in "Monte Carlo methods in finance" by P. Jackel, and/or the following papers: http://www.quarchome.org/correlationmatrix.pdf http://www.fabiomercurio.it/riskcorr.pdf#search=%22rapisarda%20correlation%20geometric%22 ciao -- Nando |
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On Thu, 2006-10-12 at 21:28 +0200, Ferdinando Ametrano wrote:
> > Just submitted a patch adding HyperSphere salvage algorithm to > > PseudoSqrt. > > Luigi added your patch to the CVS, but I noticed it only works for > correlation matrices, it fails with covariance matrices. Ouch---I didn't notice this one. Yiping, since we're close to release, would you mind if I temporarily remove your patch from the release branch so that it will be included in next release when it's complete? Later, Luigi ---------------------------------------- This gubblick contains many nonsklarkish English flutzpahs, but the overall pluggandisp can be glorked from context. -- David Moser |
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On Fri, 2006-10-13 at 09:43 -0400, Yiping Chen wrote:
> Oops, I didn't notice that this salvation also applies to covariance matrix. > > Submitted the patches which works for covariance matrix now. > also in this patch the Lower Diagonal salvation is added. Ok, I'll take a look. Thanks. (Note: for organizational reasons, it would be better to attach all files to a single patch.) > Btw, could you please add me to the developer so i can access the CVS > easier? Nothing personal, but we tend not to kiss on the first date :) We're trying to keep the number of developers at a reasonable level, so we preferably go by patches unless a developer tackles a large enough project that patches become unfeasible. Later, Luigi ---------------------------------------- There is no likelihood man can ever tap the power of the atom. -- Robert Millikan, Nobel Prize in Physics, 1923 |
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