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Re: Armijo optimization

Posted by Nicolas Di Césaré on Nov 22, 2002; 10:59am
URL: http://quantlib.414.s1.nabble.com/Problems-in-Bermudan-Swaption-tp2297p2300.html

Le ven 22/11/2002 à 11:44, Marco Marchioro a écrit :

> Hi,
> I'm no optimization guru, but I found the following paper
>
> http://csep1.phy.ornl.gov/mo/node11.html
>
> which 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?
>

Hi Marco,

I have extensively use this algorithm. I don't remember where I have
found that default values. I will try to find more informations.
The only thing, I remember is that beta > 0.5.

I will have a look the article next week.

Nicolas


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Nicolas Di Césaré <[hidden email]>