Can anyone help me with Levenberg optimizatiion in Quantlib

Posted by Benqing Shen on
URL: http://quantlib.414.s1.nabble.com/Can-anyone-help-me-with-Levenberg-optimizatiion-in-Quantlib-tp13874.html

Hi all,

 

I am new to Quantlib and trying to use LevenbergMarquardt to optimize a toy problem.

 

I’ve derived a function class from CostFunction:

// =====================================================

class ObjFun : public CostFunction

{

public:

                virtual Real value(const Array& x) const;

                virtual Disposable<Array> values(const Array& x) const;

};

 

Real ObjFun::value(const Array& x) const

{

                Real fval = exp(x[0]) * (4 * x[0] * x[0] + 2 * x[1] * x[1] + 4 * x[0] * x[1] + 2 * x[1] + 1);

                return fval;

}

 

Disposable<Array> ObjFun::values(const Array& x) const

{

                Array arr = x;

                Disposable<Array> dispArr(arr);

                return dispArr;

}

//---------------------------------------------------------

 

And then I wrote the following codes:

// ================================================

void testLMA()

{

                NoConstraint noCon;

                LevenbergMarquardt lm(1e-8);

                EndCriteria endCrit(1000,400,1e-8,1e-8,1e-8);

                ObjFun myfun;

                Array init(2);

                init[0] = 0.5;

                init[1] = -1;

                Real testVal = myfun.value(init);

                Array grad(2);

                myfun.gradient(grad,init);

                Real g2 = grad[1];

                Problem problem1(myfun,noCon,init);

                EndCriteria::Type endType = lm.minimize(problem1,endCrit);

                Real x0 = problem1.currentValue()[0];

                testVal = problem1.functionValue();

}

//------------------------------------------------------------------------

 

Despite all possible initial guess I’ve input, the method just converges to the same non-optimized point every time, namely (0,0) in this case.

 

Can anyone help me out of this problem? Thanks in advance.

 

Ben

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