Package org.jquantlib.math.optimization

Examples of org.jquantlib.math.optimization.Simplex

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            final double levenbergMarquardtXtol,
            final double levenbergMarquardtGtol)
    {
        switch(optimizationMethodType){
        case simplex:
            return new Simplex(simplexLambda);
        case levenbergMarquardt:
            return new LevenbergMarquardt(levenbergMarquardtEpsfcn,
                    levenbergMarquardtXtol,
                    levenbergMarquardtXtol);
        default:
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        final boolean isRhoFixed[]   = {true, false};

        final double calibrationTolerance = 5.0e-8;
        // initialize optimization methods
        final OptimizationMethod methods[] = new OptimizationMethod[2];
        methods[0] = new Simplex(0.01);
        methods[1] = new LevenbergMarquardt(1e-8, 1e-8, 1e-8);
        // Initialize end criteria
        final EndCriteria endCriteria = new EndCriteria(100000, 100, 1e-8, 1e-8, 1e-8);

        // Test looping over all possibilities
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      // if no optimization method or endCriteria is provided, we provide
      // one
      if (optMethod_ != null) {
                // optMethod_ = boost::shared_ptr<OptimizationMethod>(new
        // LevenbergMarquardt(1e-8, 1e-8, 1e-8));
        optMethod_ = new Simplex(0.01);
            }
      if (endCriteria_ != null) {
        endCriteria_ = new EndCriteria(60000, 100, 1e-8, 1e-8, 1e-8);
      }
      itsCoeffs.weights_ = new Array(vx.size());
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        final boolean isRhoFixed[]   = {true, false};

        final double calibrationTolerance = 5.0e-8;
        // initialize optimization methods
        final OptimizationMethod methods[] = new OptimizationMethod[2];
        methods[0] = new Simplex(0.01);
        methods[1] = new LevenbergMarquardt(1e-8, 1e-8, 1e-8);
        // Initialize end criteria
        final EndCriteria endCriteria = new EndCriteria(100000, 100, 1e-8, 1e-8, 1e-8);

        // Test looping over all possibilities
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        final boolean isRhoFixed[]= {true, false};

        final double calibrationTolerance = 5.0e-8;
        // initialize optimization methods
        final List<OptimizationMethod> methods_ = new ArrayList<OptimizationMethod>();
        methods_.add(new Simplex(0.01));
        methods_.add(new LevenbergMarquardt(1e-8, 1e-8, 1e-8));
        // Initialize end criteria
        final EndCriteria endCriteria = new EndCriteria(100000, 100, 1e-8, 1e-8, 1e-8);
        // Test looping over all possibilities
        for (int j=0; j<methods_.size(); ++j) {
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            final double levenbergMarquardtXtol,
            final double levenbergMarquardtGtol)
    {
        switch(optimizationMethodType){
        case simplex:
            return new Simplex(simplexLambda);
        case levenbergMarquardt:
            return new LevenbergMarquardt(levenbergMarquardtEpsfcn,
                    levenbergMarquardtXtol,
                    levenbergMarquardtXtol);
        default:
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      // if no optimization method or endCriteria is provided, we provide
      // one
      if (optMethod_ != null) {
                // optMethod_ = boost::shared_ptr<OptimizationMethod>(new
        // LevenbergMarquardt(1e-8, 1e-8, 1e-8));
        optMethod_ = new Simplex(0.01);
            }
      if (endCriteria_ != null) {
        endCriteria_ = new EndCriteria(60000, 100, 1e-8, 1e-8, 1e-8);
      }
      itsCoeffs.weights_ = new Array(vx.size());
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Related Classes of org.jquantlib.math.optimization.Simplex

  • org.jquantlib.math.interpolations.SABRInterpolation$SABRInterpolationImpl
  • org.jquantlib.math.matrixutilities.Array
  • org.jquantlib.testsuite.math.interpolations.InterpolationTest
  • org.jquantlib.testsuite.math.interpolations.SABRInterpolationTest
  • org.jquantlib.testsuite.math.optimization.OptimizerTest
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