Posted by
蔡宗儒-風險管理處-銀行 on
Mar 25, 2011; 4:09am
URL: http://quantlib.414.s1.nabble.com/Hi-I-m-the-user-of-QuantLib-tp13330.html
Hello,
I'm the user of
QuantLib.
I have some question about
optimization.
I use the optimization method LevenbergMarquardt and
the cost
function OneDimensionalPolynomialDegreeN in optimizers.cpp
I solve the following eqtions
seperately(I did not solve
together)
E1 =
1+x+x^2
E2 =
-1+x+x^2
In E1, I get the right
solution, (x ,E1)=(-0.5 , 0.75)
In E2, I get the wrong solution, (x,E2)=(-0.6180 ,
0)
I think the reason why E2 get
the wrong answear is that LevenbergMarquardt method use
"MINPACK.lmdif".The MINPACK.lmdif seems to minize the sum
of square.
That means it
dose not minize the equation but MSE.
Therefore,I
think LevenbergMarquardt in QuantLib seems
to min the value (E1-0)^2 in E1 and min the
value (E2-0)^2 in E2.Hence I got the wrong solution.
So, did I use the method wrong
?
Or QuantLib use the wrong methd "MINPACK.lmdif"
?
Regards,
蔡宗儒 Jason
Tsai
永豐銀行風險管理處
TEL：81618681
FAX：81618482
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