Posted by
蔡宗儒-風險管理處-銀行 on
Apr 01, 2011; 3:57am
URL: http://quantlib.414.s1.nabble.com/Hi-I-m-the-user-of-QuantLib-tp13330p13334.html
Hi dears,
After survey, I think LM method is goal to "Fitting".
Hence,in E2 = -1+x+x^2 (the unexpected solution), LM method min the distance between 0 and -1+x+x^2.
Since LM method is to min the distance instead of function value, as your words, it is not suitable for my problem.
My conclusion is :
1.When I want to min the math function, I should not choose LM method.
2.When I want to do fitting, LM method can do very well.
In testsuite->optimizers.hpp, LM method is essential different from ConjugateGradient,SteepestDescent or BFGS.
It is just fortunate to got the min(the example in C# is 1+x+x^2 but not -1+x+x^2).
Thanks for your help!!
Regards,
蔡宗儒 Jason Tsai
永豐銀行風險管理處
TEL：81618681
FAX：81618482
-----Original Message-----
From: Luigi Ballabio [mailto:
[hidden email]]
Sent: Thursday, March 31, 2011 5:02 PM
To: 蔡宗儒-風險管理處-銀行
Cc: Kim Kuen Tang;
[hidden email]
Subject: Re: [Quantlib-dev] Hi, I'm the user of QuantLib
On Mon, 2011-03-28 at 10:17 +0800, 蔡宗儒-風險管理處-銀行 wrote:
> Can you tell me LevenbergMarquardt in Qunatlib is goal to find
> min or root?
It should be the min, but I'm afraid that the MINPACK routine it calls stops at a root because it minimizes the sum of squares.
LevenbergMarquardt is probably not the right optimizer for your problem; I suggest you use another.
Luigi
--
fix, n.,v.
What one does when a problem has been reported too many times to be ignored.
-- the Jargon file
------------------------------------------------------------------------------
Create and publish websites with WebMatrix
Use the most popular FREE web apps or write code yourself;
WebMatrix provides all the features you need to develop and
publish your website.
http://p.sf.net/sfu/ms-webmatrix-sf_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev