Re: MINPACK error with PiecewiseConstantParameter class

Posted by javit on Sep 08, 2009; 2:35pm
URL: http://quantlib.414.s1.nabble.com/MINPACK-error-with-PiecewiseConstantParameter-class-tp7946p7951.html

Dima,

Thank you for your reply. I can't check it right away. It's our heavy season this time of the year. Things got slowed down now. Previously, I checked the LM code. The code exits with info = 0. That's why I was suspicious of the number of optimization variables.

Javit

Dimathematician wrote

I think I know where the problem might be located: in your cost function

Array values(Array x)

is the dimension of the returned array smaller than the dimension of
x? e.g. you are optimizing with respect to 3 parameters, but returning
a 2 dimensional array.

lmdif checks for

m < n

if this is true, your error code (*info=0) is returned


*    m is a positive integer input variable set to the number
*      of functions.
*
*    n is a positive integer input variable set to the number
*      of variables. n must not exceed m.

I think the objective in the MINPACK algo is to avoid an ill posed problem.

Can you check please? Otherwise we'll find something else :)




2009/9/3 javit <[e-mail]>

>
> Klaus,
>
> At my first read, I believed that LM algorithm should work too. I got the
> code running with ConjugateGradient method.
>
> It took me sometime to figure out what is wrong. It turns out that after
> the
> optimized parameters are called, I call the model class once more to get
> the
> node values. And at that call, since the values are optimal, the root
> finders return an error complaining that the root is not bracketed. Both
> optimal f values have the same sign.
>
> Therefore, in Solver1d.hpp, I believe that one should check the accuracy of
> the starting points (is f(x_1) - f(x_2) close to zero and is f(x_1) close
> to
> zero?) before checking the signs of the f(x_1) and f(x_2).
>
> The current checks are:
>
> Is f(x_1) = 0 ?
> Is f(x_2) = 0 ?
>
> Rather than this, it should be:
> Is Abs( f(x_1) ) < accuracy?
> Is Abs( f(x_2) ) < accuracy?
> If yes, then return the x as the root before starting to check the signs of
> f values.
>
> For the LM algorithm, I still don't know why it is not working. I would bet
> that it is the number of optimization variables causing the error. My code
> is currently messy. I cannot send it as it is. I will let you know when all
> is done.
>
> Thank you for your help,
>
> Javit
>
>
>
> Klaus Spanderen-2 wrote:
> >
> > Hi Javit
> >
> > could you please send (or post) the code that causes the problem. The
> > Levenberg-Marquardt algorithm should (in theory;-) work for
> > PiecewiseConstantParameter.
> >
> > cheers
> >  Klaus
> >
> >
> ------------------------------------------------------------------------------
> > Let Crystal Reports handle the reporting - Free Crystal Reports 2008
> > 30-Day
> > trial. Simplify your report design, integration and deployment - and
> focus
> > on
> > what you do best, core application coding. Discover what's new with
> > Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> > _______________________________________________
> > QuantLib-users mailing list
> > [e-mail]
> > https://lists.sourceforge.net/lists/listinfo/quantlib-users
> >
> >
>
>
> -----
> Cavit (Javit) Hafizoglu
> mailto:[e-mail] mailto:[e-mail]
> --
> View this message in context:
> http://www.nabble.com/MINPACK--error-with-PiecewiseConstantParameter-class-tp25225373p25274841.html
> Sent from the quantlib-users mailing list archive at Nabble.com.
>
>
>
> ------------------------------------------------------------------------------
> Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
> trial. Simplify your report design, integration and deployment - and focus
> on
> what you do best, core application coding. Discover what's new with
> Crystal Reports now.  http://p.sf.net/sfu/bobj-july
> _______________________________________________
> QuantLib-users mailing list
> [e-mail]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

------------------------------------------------------------------------------
Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day
trial. Simplify your report design, integration and deployment - and focus on
what you do best, core application coding. Discover what's new with
Crystal Reports now.  http://p.sf.net/sfu/bobj-july
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users