Login  Register

Re: G2 update

Posted by mike.parkerql on Jun 14, 2004; 5:23pm
URL: http://quantlib.414.s1.nabble.com/Re-G2-update-tp3003p3006.html

Thanks for that Neil.
Do you (or anyone else) know how well these methods perform in a minimum-
finding prob. with many close local min in multi-dimensions? I understand
that "global Newton" implies a global min., but what are the restrictions (if
any)? Do local derivatives need to be estimated etc. etc.?

Personally, I actually like the ideas underlying simulated annealing and
downhill simplex. Very intuitive, minimum assumptions, v. nice.
Ingber (www.ingber.com) talks about very fast annealing, which I must look
into more, so perhaps there are useful refinements in this case.

BTW - where are those lecture notes (module 9) you promised me in March? :-)
Still waiting dude.

Mike



Quoting Neil P Firth <[hidden email]>:

> Hi,
>
> I have to say that I'm not an expert on IR methods, but I have read some
> stuff on using Levenberg-Marquardt Nonlnear least squares to do the
> calibration to swaptions. Google on: levenberg swaption calibration. Could
> also try global Newton methods. I read on wilmott.com that the NR L-M
> method is flawed, but I don't know whether that is true or not....
>
> Neil
>
>
> ---------------------------------------------------
>   Neil Firth
>   Brasenose College Oxford OX1 4AJ United Kingdom
>   Office: 01865 280616
>   [hidden email]
>   http://www.maths.ox.ac.uk/~firth
> ---------------------------------------------------
>
>
> -------------------------------------------------------
> This SF.Net email is sponsored by the new InstallShield X.
> From Windows to Linux, servers to mobile, InstallShield X is the
> one installation-authoring solution that does it all. Learn more and
> evaluate today! http://www.installshield.com/Dev2Dev/0504
> _______________________________________________
> Quantlib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>


--