Re: calibration G2++ with defferential evolution

Posted by Ralph Schreyer-3 on
URL: http://quantlib.414.s1.nabble.com/calibration-G2-with-defferential-evolution-tp14969p14972.html

Hi Andre, Peter,

I think the current implementation is buggy. You would do something like

Array lower(5); lower[0] = 0.0; lower[1] = 0.0; lower[2] = 0.0; lower[3] = -1.0; lower[4] = 0.0; Array upper(5); upper[0] = 10.0; upper[1] = 50.0; upper[2] = 10.0; upper[3] = 1.0; upper[4] = 10.0; model->calibrate(options, deOptimizer, EndCriteria(400, 40, 1.0e-8, 1.0e-8, Null<Real>()), NonhomogeneousBoundaryConstraint(lower, upper));

Then, in model.cpp, line 88 ff, the CompositeConstraint is built from the PrivateConstraint of the model and the NonhomogeneousBoundaryConstraint. When you look at the implementation of e.g. upperBound(...) in constraint.hpp, line 156 ff., you find

for (Size iter = 0; iter < c1ub.size(); iter++) { rtrnArray.at(iter) = std::min(c1ub.at(iter), c2ub.at(iter)); }

Because c1ub is the upperBound of the PrivateConstraint and c1ub.size() = 0, the DifferentialEvolution does not get its bounds and therefore e.g. DifferentialEvolution::fillInitialPopulation(...) fails.

Maybe one can change the CompositeConstraint upperBound and lowerBound implementations? Or is there a better place? Or isn't there a bug at all??

Best

Ralph

2014-02-17 13:00 GMT+01:00 Peter Caspers <[hidden email]>:

Hi André,

can you please post the complete code needed to reproduce the problem
? With a short description of what the problem is (if not obvious) ?

best regards
Peter


On 16 February 2014 17:28, André de Boer <[hidden email]> wrote:
> Hello,
>
> Two days ago I posted a question about differential evolution and the
> shortratemodel G2.
> Meanwhile I learned how to minimize the Rosenbrockfunction with differential
> evolution.
> But my goal is to calibrate the G2 shortratemodel.
>
> For the 5 parameters of the G2++ model I want to have boundedconstraints:
> For instance:
> 0 < a < 6
> 0 < b < 6
> 0 < sigma < 0.25
> 0 < eta < 0.25
> -1 < rho < 1
>
> To accomplish this I made a class MyConstraint, see code below.
> ...
> MyConstraint mc;
> DifferentialEvolution deOptim(conf);
> modelG2pp->calibrate(swaptions, deOptim,
> EndCriteria(100,10,1e-10,1e-8,Null<Real>()), mc);
> ...
> But still I isn't not working.
> Can someone give me a hint of parts of code?
>
> Kind regards,
> André
>
>
>
> #include <iostream>
> #include <vector>
> #include <ql/quantlib.hpp>
> using namespace QuantLib;
>
> class MyConstraint : public Constraint {
> class Impl : public Constraint::Impl {
> public:
>
> bool test(const Array& x) const {
> Real a1 = x[0], a2 = x[1], a3 = x[2], a4=x[3], a5=x[4];
>
> return (0.0 <= a1 && a1 <= 6.0) &&
> (0.0 <= a2 && a2 <= 6.0) &&
> (0.0 <= a3 && a3 <= 0.25) &&
> (0.0 <= a4 && a4 <= 0.25) &&
> (-1.0 <= a5 && a5 <= 1.0);
>
> }
>
> };
> public:
>
> MyConstraint()
> : Constraint(boost::shared_ptr<Constraint::Impl>(new MyConstraint::Impl)) {}
>
> };
>
> int main(){
>
> ...
> double a = 0.1;
>
> double b = 0.1;
> double sigma = 0.01;
> double eta = 0.01;
> double rho = -0.75;
> boost::shared_ptr<G2> modelG2pp(new G2(yieldCurve, a, b, sigma, eta, rho));
> std::cout << "G2 (analytic formulae) calibration" << std::endl;
>
> MyConstraint mc;
> DifferentialEvolution::Configuration conf =
> DifferentialEvolution::Configuration()
> .withStepsizeWeight(0.4)
> .withBounds()
> .withCrossoverProbability(0.35)
> .withPopulationMembers(100)
> .withStrategy(DifferentialEvolution::BestMemberWithJitter)
> .withCrossoverType(DifferentialEvolution::Normal)
> .withAdaptiveCrossover()
> .withSeed(0);
>
> MyConstraint mc;
> DifferentialEvolution deOptim(conf);
> modelG2pp->calibrate(swaptions, deOptim,
> EndCriteria(100,10,1e-10,1e-8,Null<Real>()), mc);
>
> }
>
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