Gilles,
Thank you for answering. PowellOptimizer did not work very well for our
particular function, and other optimizers in scalar.noderiv are not easily
understandable. BOBYQAOptimizer usually works well. Do you have
suggestions that we might work around this particular case so it does not
hang? We minimize LS with grid (x,y) having 9 points.
Andrew
class LS implements MultivariateFunction {
private BS bs = new BS();
private double[] x;
private double[] y;
private double const1;
private int optionType;
public LS(double[] x, double[] y, int optionType, double const1) {
this.x = x;
this.y = y;
this.optionType = optionType;
this.const1 = const1;
}
@Override
public double value(double point[]) {
int len = x.length;
double val = 0;
for (int i=0; i<len; i++) {
double yc = bs.f2(x[i], point[0]*const1, point[1],
point[2], optionType);
val += Math.pow(yc-y[i], 2);
}
return val;
}
}
class BS {
public double blackScholes(double price, double strike, double
time, double vol, int optionType) {
double volrootime = Math.pow(time, 0.5) * vol;
double topline1 = Math.log(price/strike);
double topline2 = Math.pow(vol, 2)/2* time;
double topline = topline1 + topline2;
double d1 = topline / volrootime;
double d2 = d1 - volrootime;
double val = 0.0;
NormalDistribution normal = new NormalDistribution();
if (optionType==1)
val = (price * normal.cumulativeProbability(d1) - strike *
normal.cumulativeProbability(d2));
else
val = (strike * normal.cumulativeProbability(-d2) - price
* normal.cumulativeProbability(-d1));
return val;
}
public double f2(double x, double ah, double ai, double aj, int
ak) {
return ah*bScore(x, ai, aj, ak);
}
public double bScore(double price, double strike, double vol, int
optionType) {
return blackScholes(price, strike, 1, vol, optionType);
}
}
From:
Gilles <[email protected]>
To:
<[email protected]>
Date:
12/18/2013 07:22 PM
Subject:
Re: [math] BOBYQAOptimizer hang
Hi.
On Wed, 18 Dec 2013 12:58:52 -0500, [email protected] wrote:
> I ran into a case that BOBYQAOptimizer hang in line 485. trsbox is
> pretty
> complex method and I'm not familiar with the algorithm. It seems
> going
> into infinite loop between different states.
>
> final double[] dsqCrvmin = trsbox(delta, gnew, xbdi, s,
> hs, hred);
>
> Here is the test case for it. After reducing the value to <2.24 it
> hang in
> trsbox method without progress.
>
>
> Can someone shed light on what might be happening, and how to deal
> with
> it? Thanks.
The short story is that BOBYQAOptimzer is not really supported.
The long story is on the bug-tracking system:
https://issues.apache.org/jira/browse/MATH-621
Sorry,
Gilles
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