On Monday, 22 December 2014 at 21:39:08 UTC, Marc Schütz wrote:
On Monday, 22 December 2014 at 20:46:23 UTC, bachmeier wrote:
It's been ages since I read the paper, but there is a parallel
version of Nelder-Mead that is supposed to give very large
performance improvements, even when used on a single processor:
http://www.cs.ucsb.edu/~kyleklein/publications/neldermead.pdf
It is not difficult to implement. I may look into modifying
your code to implement it when I get some time.
It will certainly also be advantageous to pass the functions as
aliases, so that they can get inlined.
Thanks, Marc. I appreciate the pointer, and if you do have time
to look at the code. I confess that it can't really be called my
own implementation as I simply ported it to D. There is some
more clever stuff within quantlib (c++ project), but I quite
liked the idea of starting with this one as it is simple, and
speed is not yet vital at this stage.
Laeeth.
