Armijo optimization
Posted by
Marco Marchioro-2 on
Nov 22, 2002; 2:46am
URL: http://quantlib.414.s1.nabble.com/Problems-in-Bermudan-Swaption-tp2297p2299.html
Hi,
I'm no optimization guru, but I found the following paper
http://csep1.phy.ornl.gov/mo/node11.htmlwhich advices to use alpha=1.e-4 and beta=0.9 for Armijo and Goldstein
criteria.
At the moment QuantLib has default values alpha=0.5 and beta=0.65.
Should we change these default values?
Did anybody ever tested this algorithm?
Marco