// curve optimization called here- adjust optimization parameters here
internal void calculate()
{
FittingCost costFunction = costFunction_;
Constraint constraint = new NoConstraint();
// start with the guess solution, if it exists
Vector x = new Vector(size(), 0.0);
if (!curve_.guessSolution_.empty())
{
x = curve_.guessSolution_;
}
if (curve_.maxEvaluations_ == 0)
{
//Don't calculate, simply use given parameters to provide a fitted curve.
//This turns the fittedbonddiscountcurve into an evaluator of the parametric
//curve, for example allowing to use the parameters for a credit spread curve
//calculated with bonds in one currency to be coupled to a discount curve in
//another currency.
return;
}
//workaround for backwards compatibility
OptimizationMethod optimization = optimizationMethod_;
if (optimization == null)
{
optimization = new Simplex(curve_.simplexLambda_);
}
Problem problem = new Problem(costFunction, constraint, x);
double rootEpsilon = curve_.accuracy_;
double functionEpsilon = curve_.accuracy_;
double gradientNormEpsilon = curve_.accuracy_;
EndCriteria endCriteria = new EndCriteria(curve_.maxEvaluations_,
curve_.maxStationaryStateIterations_,
rootEpsilon,
functionEpsilon,
gradientNormEpsilon);
optimization.minimize(problem, endCriteria);
solution_ = problem.currentValue();
numberOfIterations_ = problem.functionEvaluation();
costValue_ = problem.functionValue();
// save the results as the guess solution, in case of recalculation
curve_.guessSolution_ = solution_;
}
//! Calibrate to a set of market instruments (caps/swaptions)
/*! An additional constraint can be passed which must be
* satisfied in addition to the constraints of the model.
*/
public void calibrate(List <CalibrationHelper> instruments,
OptimizationMethod method,
EndCriteria endCriteria,
Constraint additionalConstraint = null,
List <double> weights = null,
List <bool> fixParameters = null)
{
if (weights == null)
{
weights = new List <double>();
}
if (additionalConstraint == null)
{
additionalConstraint = new Constraint();
}
Utils.QL_REQUIRE(weights.empty() || weights.Count == instruments.Count, () =>
"mismatch between number of instruments (" +
instruments.Count + ") and weights(" +
weights.Count + ")");
Constraint c;
if (additionalConstraint.empty())
{
c = constraint_;
}
else
{
c = new CompositeConstraint(constraint_, additionalConstraint);
}
List <double> w = weights.Count == 0 ? new InitializedList <double>(instruments.Count, 1.0) : weights;
Vector prms = parameters();
List <bool> all = new InitializedList <bool>(prms.size(), false);
Projection proj = new Projection(prms, fixParameters ?? all);
CalibrationFunction f = new CalibrationFunction(this, instruments, w, proj);
ProjectedConstraint pc = new ProjectedConstraint(c, proj);
Problem prob = new Problem(f, pc, proj.project(prms));
shortRateEndCriteria_ = method.minimize(prob, endCriteria);
Vector result = new Vector(prob.currentValue());
setParams(proj.include(result));
Vector shortRateProblemValues_ = prob.values(result);
notifyObservers();
}
//! Solve least square problem using numerix solver
public Vector perform(ref LeastSquareProblem lsProblem)
{
double eps = accuracy_;
// wrap the least square problem in an optimization function
LeastSquareFunction lsf = new LeastSquareFunction(lsProblem);
// define optimization problem
Problem P = new Problem(lsf, c_, initialValue_);
// minimize
EndCriteria ec = new EndCriteria(maxIterations_, Math.Min(maxIterations_ / 2, 100), eps, eps, eps);
exitFlag_ = (int)om_.minimize(P, ec);
results_ = P.currentValue();
resnorm_ = P.functionValue();
bestAccuracy_ = P.functionValue();
return(results_);
}
// Optimization function for hypersphere and lower-diagonal algorithm
private static Matrix hypersphereOptimize(Matrix targetMatrix, Matrix currentRoot, bool lowerDiagonal)
{
int i, j, k, size = targetMatrix.rows();
Matrix result = new Matrix(currentRoot);
Vector variance = new Vector(size);
for (i = 0; i < size; i++)
{
variance[i] = Math.Sqrt(targetMatrix[i, i]);
}
if (lowerDiagonal)
{
Matrix approxMatrix = result * Matrix.transpose(result);
result = MatrixUtilities.CholeskyDecomposition(approxMatrix, true);
for (i = 0; i < size; i++)
{
for (j = 0; j < size; j++)
{
result[i, j] /= Math.Sqrt(approxMatrix[i, i]);
}
}
}
else
{
for (i = 0; i < size; i++)
{
for (j = 0; j < size; j++)
{
result[i, j] /= variance[i];
}
}
}
ConjugateGradient optimize = new ConjugateGradient();
EndCriteria endCriteria = new EndCriteria(100, 10, 1e-8, 1e-8, 1e-8);
HypersphereCostFunction costFunction = new HypersphereCostFunction(targetMatrix, variance, lowerDiagonal);
NoConstraint constraint = new NoConstraint();
// hypersphere vector optimization
if (lowerDiagonal)
{
Vector theta = new Vector(size * (size - 1) / 2);
const double eps = 1e-16;
for (i = 1; i < size; i++)
{
for (j = 0; j < i; j++)
{
theta[i * (i - 1) / 2 + j] = result[i, j];
if (theta[i * (i - 1) / 2 + j] > 1 - eps)
{
theta[i * (i - 1) / 2 + j] = 1 - eps;
}
if (theta[i * (i - 1) / 2 + j] < -1 + eps)
{
theta[i * (i - 1) / 2 + j] = -1 + eps;
}
for (k = 0; k < j; k++)
{
theta[i * (i - 1) / 2 + j] /= Math.Sin(theta[i * (i - 1) / 2 + k]);
if (theta[i * (i - 1) / 2 + j] > 1 - eps)
{
theta[i * (i - 1) / 2 + j] = 1 - eps;
}
if (theta[i * (i - 1) / 2 + j] < -1 + eps)
{
theta[i * (i - 1) / 2 + j] = -1 + eps;
}
}
theta[i * (i - 1) / 2 + j] = Math.Acos(theta[i * (i - 1) / 2 + j]);
if (j == i - 1)
{
if (result[i, i] < 0)
{
theta[i * (i - 1) / 2 + j] = -theta[i * (i - 1) / 2 + j];
}
}
}
}
Problem p = new Problem(costFunction, constraint, theta);
optimize.minimize(p, endCriteria);
theta = p.currentValue();
result.fill(1);
for (i = 0; i < size; i++)
{
for (k = 0; k < size; k++)
{
if (k > i)
{
result[i, k] = 0;
}
else
{
for (j = 0; j <= k; j++)
{
if (j == k && k != i)
{
result[i, k] *= Math.Cos(theta[i * (i - 1) / 2 + j]);
}
else if (j != i)
{
result[i, k] *= Math.Sin(theta[i * (i - 1) / 2 + j]);
}
}
}
}
}
}
else
{
Vector theta = new Vector(size * (size - 1));
const double eps = 1e-16;
for (i = 0; i < size; i++)
{
for (j = 0; j < size - 1; j++)
{
theta[j * size + i] = result[i, j];
if (theta[j * size + i] > 1 - eps)
{
theta[j * size + i] = 1 - eps;
}
if (theta[j * size + i] < -1 + eps)
{
theta[j * size + i] = -1 + eps;
}
for (k = 0; k < j; k++)
{
theta[j * size + i] /= Math.Sin(theta[k * size + i]);
if (theta[j * size + i] > 1 - eps)
{
theta[j * size + i] = 1 - eps;
}
if (theta[j * size + i] < -1 + eps)
{
theta[j * size + i] = -1 + eps;
}
}
theta[j * size + i] = Math.Acos(theta[j * size + i]);
if (j == size - 2)
{
if (result[i, j + 1] < 0)
{
theta[j * size + i] = -theta[j * size + i];
}
}
}
}
Problem p = new Problem(costFunction, constraint, theta);
optimize.minimize(p, endCriteria);
theta = p.currentValue();
result.fill(1);
for (i = 0; i < size; i++)
{
for (k = 0; k < size; k++)
{
for (j = 0; j <= k; j++)
{
if (j == k && k != size - 1)
{
result[i, k] *= Math.Cos(theta[j * size + i]);
}
else if (j != size - 1)
{
result[i, k] *= Math.Sin(theta[j * size + i]);
}
}
}
}
}
for (i = 0; i < size; i++)
{
for (j = 0; j < size; j++)
{
result[i, j] *= variance[i];
}
}
return(result);
}
public override void update()
{
coeff_.updateModelInstance();
// we should also check that y contains positive values only
// we must update weights if it is vegaWeighted
if (vegaWeighted_)
{
coeff_.weights_.Clear();
double weightsSum = 0.0;
for (int i = 0; i < xBegin_.Count; i++)
{
double stdDev = Math.Sqrt((yBegin_[i]) * (yBegin_[i]) * coeff_.t_);
coeff_.weights_.Add(coeff_.model_.weight(xBegin_[i], forward_, stdDev, coeff_.addParams_));
weightsSum += coeff_.weights_.Last();
}
// weight normalization
for (int i = 0; i < coeff_.weights_.Count; i++)
{
coeff_.weights_[i] /= weightsSum;
}
}
// there is nothing to optimize
if (coeff_.paramIsFixed_.Aggregate((a, b) => b && a))
{
coeff_.error_ = interpolationError();
coeff_.maxError_ = interpolationMaxError();
coeff_.XABREndCriteria_ = EndCriteria.Type.None;
return;
}
XABRError costFunction = new XABRError(this);
Vector guess = new Vector(coeff_.model_.dimension());
for (int i = 0; i < guess.size(); ++i)
{
guess[i] = coeff_.params_[i].GetValueOrDefault();
}
int iterations = 0;
int freeParameters = 0;
double bestError = double.MaxValue;
Vector bestParameters = new Vector();
for (int i = 0; i < coeff_.model_.dimension(); ++i)
{
if (!coeff_.paramIsFixed_[i])
{
++freeParameters;
}
}
HaltonRsg halton = new HaltonRsg(freeParameters, 42);
EndCriteria.Type tmpEndCriteria;
double tmpInterpolationError;
do
{
if (iterations > 0)
{
Sample <List <double> > s = halton.nextSequence();
coeff_.model_.guess(guess, coeff_.paramIsFixed_, forward_, coeff_.t_, s.value, coeff_.addParams_);
for (int i = 0; i < coeff_.paramIsFixed_.Count; ++i)
{
if (coeff_.paramIsFixed_[i])
{
guess[i] = coeff_.params_[i].GetValueOrDefault();
}
}
}
Vector inversedTransformatedGuess =
new Vector(coeff_.model_.inverse(guess, coeff_.paramIsFixed_, coeff_.params_, forward_));
ProjectedCostFunction rainedXABRError = new ProjectedCostFunction(costFunction,
inversedTransformatedGuess,
coeff_.paramIsFixed_);
Vector projectedGuess = new Vector(rainedXABRError.project(inversedTransformatedGuess));
constraint_.config(rainedXABRError, coeff_, forward_);
Problem problem = new Problem(rainedXABRError, constraint_, projectedGuess);
tmpEndCriteria = optMethod_.minimize(problem, endCriteria_);
Vector projectedResult = new Vector(problem.currentValue());
Vector transfResult = new Vector(rainedXABRError.include(projectedResult));
Vector result = coeff_.model_.direct(transfResult, coeff_.paramIsFixed_, coeff_.params_, forward_);
tmpInterpolationError = useMaxError_
? interpolationMaxError()
: interpolationError();
if (tmpInterpolationError < bestError)
{
bestError = tmpInterpolationError;
bestParameters = result;
coeff_.XABREndCriteria_ = tmpEndCriteria;
}
}while (++iterations < maxGuesses_ &&
tmpInterpolationError > errorAccept_);
for (int i = 0; i < bestParameters.size(); ++i)
{
coeff_.params_[i] = bestParameters[i];
}
coeff_.error_ = interpolationError();
coeff_.maxError_ = interpolationMaxError();
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// set up of the problem
//double ftol = endCriteria.functionEpsilon(); // end criteria on f(x) (see Numerical Recipes in C++, p.410)
double xtol = endCriteria.rootEpsilon(); // end criteria on x (see GSL v. 1.9, http://www.gnu.org/software/gsl/)
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
int iterationNumber_ = 0;
// Initialize vertices of the simplex
bool end = false;
int n = x_.Count;
vertices_ = new InitializedList <Vector>(n + 1, x_);
for (int i = 0; i < n; i++)
{
Vector direction = new Vector(n, 0.0);
Vector vertice = vertices_[i + 1];
direction[i] = 1.0;
P.constraint().update(ref vertice, direction, lambda_);
vertices_[i + 1] = vertice;
}
// Initialize function values at the vertices of the simplex
values_ = new Vector(n + 1, 0.0);
for (int i = 0; i <= n; i++)
{
values_[i] = P.value(vertices_[i]);
}
// Loop looking for minimum
do
{
sum_ = new Vector(n, 0.0);
for (int i = 0; i <= n; i++)
{
sum_ += vertices_[i];
}
// Determine the best (iLowest), worst (iHighest)
// and 2nd worst (iNextHighest) vertices
int iLowest = 0;
int iHighest;
int iNextHighest;
if (values_[0] < values_[1])
{
iHighest = 1;
iNextHighest = 0;
}
else
{
iHighest = 0;
iNextHighest = 1;
}
for (int i = 1; i <= n; i++)
{
if (values_[i] > values_[iHighest])
{
iNextHighest = iHighest;
iHighest = i;
}
else
{
if ((values_[i] > values_[iNextHighest]) && i != iHighest)
{
iNextHighest = i;
}
}
if (values_[i] < values_[iLowest])
{
iLowest = i;
}
}
// Now compute accuracy, update iteration number and check end criteria
// GSL exit strategy on x (see GSL v. 1.9, http://www.gnu.org/software/gsl
double simplexSize = Utils.computeSimplexSize(vertices_);
++iterationNumber_;
if (simplexSize < xtol || endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryPoint(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return(ecType);
}
// If end criteria is not met, continue
double factor = -1.0;
double vTry = extrapolate(ref P, iHighest, ref factor);
if ((vTry <= values_[iLowest]) && (factor.IsEqual(-1.0)))
{
factor = 2.0;
extrapolate(ref P, iHighest, ref factor);
}
else if (Math.Abs(factor) > Const.QL_EPSILON)
{
if (vTry >= values_[iNextHighest])
{
double vSave = values_[iHighest];
factor = 0.5;
vTry = extrapolate(ref P, iHighest, ref factor);
if (vTry >= vSave && Math.Abs(factor) > Const.QL_EPSILON)
{
for (int i = 0; i <= n; i++)
{
if (i != iLowest)
{
#if QL_ARRAY_EXPRESSIONS
vertices_[i] = 0.5 * (vertices_[i] + vertices_[iLowest]);
#else
vertices_[i] += vertices_[iLowest];
vertices_[i] *= 0.5;
#endif
values_[i] = P.value(vertices_[i]);
}
}
}
}
}
// If can't extrapolate given the constraints, exit
if (Math.Abs(factor) <= Const.QL_EPSILON)
{
x_ = vertices_[iLowest];
double low = values_[iLowest];
P.setFunctionValue(low);
P.setCurrentValue(x_);
return(EndCriteria.Type.StationaryFunctionValue);
}
}while (end == false);
Utils.QL_FAIL("optimization failed: unexpected behaviour");
return(0);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
int stationaryStateIterations_ = 0;
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x = P.currentValue();
iteration_ = 0;
n_ = x.size();
ptry_ = new Vector(n_, 0.0);
// build vertices
vertices_ = new InitializedList <Vector>(n_ + 1, x);
for (i_ = 0; i_ < n_; i_++)
{
Vector direction = new Vector(n_, 0.0);
direction[i_] = 1.0;
Vector tmp = vertices_[i_ + 1];
P.constraint().update(ref tmp, direction, lambda_);
vertices_[i_ + 1] = tmp;
}
values_ = new Vector(n_ + 1, 0.0);
for (i_ = 0; i_ <= n_; i_++)
{
if (!P.constraint().test(vertices_[i_]))
{
values_[i_] = Double.MaxValue;
}
else
{
values_[i_] = P.value(vertices_[i_]);
}
if (Double.IsNaN(ytry_))
{
// handle NAN
values_[i_] = Double.MaxValue;
}
}
// minimize
T_ = T0_;
yb_ = Double.MaxValue;
pb_ = new Vector(n_, 0.0);
do
{
iterationT_ = iteration_;
do
{
sum_ = new Vector(n_, 0.0);
for (i_ = 0; i_ <= n_; i_++)
{
sum_ += vertices_[i_];
}
tt_ = -T_;
ilo_ = 0;
ihi_ = 1;
ynhi_ = values_[0] + tt_ * Math.Log(rng_.next().value);
ylo_ = ynhi_;
yhi_ = values_[1] + tt_ * Math.Log(rng_.next().value);
if (ylo_ > yhi_)
{
ihi_ = 0;
ilo_ = 1;
ynhi_ = yhi_;
yhi_ = ylo_;
ylo_ = ynhi_;
}
for (i_ = 2; i_ < n_ + 1; i_++)
{
yt_ = values_[i_] + tt_ * Math.Log(rng_.next().value);
if (yt_ <= ylo_)
{
ilo_ = i_;
ylo_ = yt_;
}
if (yt_ > yhi_)
{
ynhi_ = yhi_;
ihi_ = i_;
yhi_ = yt_;
}
else
{
if (yt_ > ynhi_)
{
ynhi_ = yt_;
}
}
}
// GSL end criterion in x (cf. above)
if (endCriteria.checkStationaryPoint(simplexSize(), 0.0,
ref stationaryStateIterations_,
ref ecType) ||
endCriteria.checkMaxIterations(iteration_, ref ecType))
{
// no matter what, we return the best ever point !
P.setCurrentValue(pb_);
P.setFunctionValue(yb_);
return(ecType);
}
iteration_ += 2;
amotsa(P, -1.0);
if (ytry_ <= ylo_)
{
amotsa(P, 2.0);
}
else
{
if (ytry_ >= ynhi_)
{
ysave_ = yhi_;
amotsa(P, 0.5);
if (ytry_ >= ysave_)
{
for (i_ = 0; i_ < n_ + 1; i_++)
{
if (i_ != ilo_)
{
for (j_ = 0; j_ < n_; j_++)
{
sum_[j_] = 0.5 * (vertices_[i_][j_] +
vertices_[ilo_][j_]);
vertices_[i_][j_] = sum_[j_];
}
values_[i_] = P.value(sum_);
}
}
iteration_ += n_;
for (i_ = 0; i_ < n_; i_++)
{
sum_[i_] = 0.0;
}
for (i_ = 0; i_ <= n_; i_++)
{
sum_ += vertices_[i_];
}
}
}
else
{
iteration_ += 1;
}
}
}while (iteration_ <
iterationT_ + (scheme_ == Scheme.ConstantFactor ? m_ : 1));
switch (scheme_)
{
case Scheme.ConstantFactor:
T_ *= (1.0 - epsilon_);
break;
case Scheme.ConstantBudget:
if (iteration_ <= K_)
{
T_ = T0_ *
Math.Pow(1.0 - Convert.ToDouble(iteration_) / Convert.ToDouble(K_), alpha_);
}
else
{
T_ = 0.0;
}
break;
}
}while (true);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
// Initializations
double ftol = endCriteria.functionEpsilon();
int maxStationaryStateIterations_ = endCriteria.maxStationaryStateIterations();
EndCriteria.Type ecType = EndCriteria.Type.None; // reset end criteria
P.reset(); // reset problem
Vector x_ = P.currentValue(); // store the starting point
int iterationNumber_ = 0;
// dimension line search
lineSearch_.searchDirection = new Vector(x_.size());
bool done = false;
// function and squared norm of gradient values
double fnew, fold, gold2;
double fdiff;
// classical initial value for line-search step
double t = 1.0;
// Set gradient g at the size of the optimization problem
// search direction
int sz = lineSearch_.searchDirection.size();
Vector prevGradient = new Vector(sz), d = new Vector(sz), sddiff = new Vector(sz), direction = new Vector(sz);
// Initialize cost function, gradient prevGradient and search direction
P.setFunctionValue(P.valueAndGradient(ref prevGradient, x_));
P.setGradientNormValue(Vector.DotProduct(prevGradient, prevGradient));
lineSearch_.searchDirection = prevGradient * -1;
bool first_time = true;
// Loop over iterations
do
{
// Linesearch
if (!first_time)
{
prevGradient = lineSearch_.lastGradient();
}
t = (lineSearch_.value(P, ref ecType, endCriteria, t));
// don't throw: it can fail just because maxIterations exceeded
if (lineSearch_.succeed())
{
// Updates
// New point
x_ = lineSearch_.lastX();
// New function value
fold = P.functionValue();
P.setFunctionValue(lineSearch_.lastFunctionValue());
// New gradient and search direction vectors
// orthogonalization coef
gold2 = P.gradientNormValue();
P.setGradientNormValue(lineSearch_.lastGradientNorm2());
// conjugate gradient search direction
direction = getUpdatedDirection(P, gold2, prevGradient);
sddiff = direction - lineSearch_.searchDirection;
lineSearch_.searchDirection = direction;
// Now compute accuracy and check end criteria
// Numerical Recipes exit strategy on fx (see NR in C++, p.423)
fnew = P.functionValue();
fdiff = 2.0 * Math.Abs(fnew - fold) /
(Math.Abs(fnew) + Math.Abs(fold) + Const.QL_EPSILON);
if (fdiff < ftol ||
endCriteria.checkMaxIterations(iterationNumber_, ref ecType))
{
endCriteria.checkStationaryFunctionValue(0.0, 0.0, ref maxStationaryStateIterations_, ref ecType);
endCriteria.checkMaxIterations(iterationNumber_, ref ecType);
return(ecType);
}
P.setCurrentValue(x_); // update problem current value
++iterationNumber_; // Increase iteration number
first_time = false;
}
else
{
done = true;
}
}while (!done);
P.setCurrentValue(x_);
return(ecType);
}
public override EndCriteria.Type minimize(Problem P, EndCriteria endCriteria)
{
EndCriteria.Type ecType = EndCriteria.Type.None;
P.reset();
Vector x_ = P.currentValue();
currentProblem_ = P;
initCostValues_ = P.costFunction().values(x_);
int m = initCostValues_.size();
int n = x_.size();
if (useCostFunctionsJacobian_)
{
initJacobian_ = new Matrix(m, n);
P.costFunction().jacobian(initJacobian_, x_);
}
Vector xx = new Vector(x_);
Vector fvec = new Vector(m), diag = new Vector(n);
int mode = 1;
double factor = 1;
int nprint = 0;
int info = 0;
int nfev = 0;
Matrix fjac = new Matrix(m, n);
int ldfjac = m;
List <int> ipvt = new InitializedList <int>(n);
Vector qtf = new Vector(n), wa1 = new Vector(n), wa2 = new Vector(n), wa3 = new Vector(n), wa4 = new Vector(m);
// call lmdif to minimize the sum of the squares of m functions
// in n variables by the Levenberg-Marquardt algorithm.
Func <int, int, Vector, int, Matrix> j = null;
if (useCostFunctionsJacobian_)
{
j = jacFcn;
}
// requirements; check here to get more detailed error messages.
Utils.QL_REQUIRE(n > 0, () => "no variables given");
Utils.QL_REQUIRE(m >= n, () => $"less functions ({m}) than available variables ({n})");
Utils.QL_REQUIRE(endCriteria.functionEpsilon() >= 0.0, () => "negative f tolerance");
Utils.QL_REQUIRE(xtol_ >= 0.0, () => "negative x tolerance");
Utils.QL_REQUIRE(gtol_ >= 0.0, () => "negative g tolerance");
Utils.QL_REQUIRE(endCriteria.maxIterations() > 0, () => "null number of evaluations");
MINPACK.lmdif(m, n, xx, ref fvec,
endCriteria.functionEpsilon(),
xtol_,
gtol_,
endCriteria.maxIterations(),
epsfcn_,
diag, mode, factor,
nprint, ref info, ref nfev, ref fjac,
ldfjac, ref ipvt, ref qtf,
wa1, wa2, wa3, wa4,
fcn, j);
info_ = info;
// check requirements & endCriteria evaluation
Utils.QL_REQUIRE(info != 0, () => "MINPACK: improper input parameters");
if (info != 6)
{
ecType = EndCriteria.Type.StationaryFunctionValue;
}
endCriteria.checkMaxIterations(nfev, ref ecType);
Utils.QL_REQUIRE(info != 7, () => "MINPACK: xtol is too small. no further " +
"improvement in the approximate " +
"solution x is possible.");
Utils.QL_REQUIRE(info != 8, () => "MINPACK: gtol is too small. fvec is " +
"orthogonal to the columns of the " +
"jacobian to machine precision.");
// set problem
x_ = new Vector(xx.GetRange(0, n));
P.setCurrentValue(x_);
P.setFunctionValue(P.costFunction().value(x_));
return(ecType);
}
// LineSearchBasedMethod interface
protected override Vector getUpdatedDirection(Problem P, double gold2, Vector oldGradient)
{
if (inverseHessian_.rows() == 0)
{
// first time in this update, we create needed structures
inverseHessian_ = new Matrix(P.currentValue().size(), P.currentValue().size(), 0.0);
for (int i = 0; i < P.currentValue().size(); ++i)
{
inverseHessian_[i, i] = 1.0;
}
}
Vector diffGradient = new Vector();
Vector diffGradientWithHessianApplied = new Vector(P.currentValue().size(), 0.0);
diffGradient = lineSearch_.lastGradient() - oldGradient;
for (int i = 0; i < P.currentValue().size(); ++i)
{
for (int j = 0; j < P.currentValue().size(); ++j)
{
diffGradientWithHessianApplied[i] += inverseHessian_[i, j] * diffGradient[j];
}
}
double fac, fae, fad;
double sumdg, sumxi;
fac = fae = sumdg = sumxi = 0.0;
for (int i = 0; i < P.currentValue().size(); ++i)
{
fac += diffGradient[i] * lineSearch_.searchDirection[i];
fae += diffGradient[i] * diffGradientWithHessianApplied[i];
sumdg += Math.Pow(diffGradient[i], 2.0);
sumxi += Math.Pow(lineSearch_.searchDirection[i], 2.0);
}
if (fac > Math.Sqrt(1e-8 * sumdg * sumxi)) // skip update if fac not sufficiently positive
{
fac = 1.0 / fac;
fad = 1.0 / fae;
for (int i = 0; i < P.currentValue().size(); ++i)
{
diffGradient[i] = fac * lineSearch_.searchDirection[i] - fad * diffGradientWithHessianApplied[i];
}
for (int i = 0; i < P.currentValue().size(); ++i)
{
for (int j = 0; j < P.currentValue().size(); ++j)
{
inverseHessian_[i, j] += fac * lineSearch_.searchDirection[i] * lineSearch_.searchDirection[j];
inverseHessian_[i, j] -= fad * diffGradientWithHessianApplied[i] * diffGradientWithHessianApplied[j];
inverseHessian_[i, j] += fae * diffGradient[i] * diffGradient[j];
}
}
}
Vector direction = new Vector(P.currentValue().size());
for (int i = 0; i < P.currentValue().size(); ++i)
{
direction[i] = 0.0;
for (int j = 0; j < P.currentValue().size(); ++j)
{
direction[i] -= inverseHessian_[i, j] * lineSearch_.lastGradient()[j];
}
}
return(direction);
}
public void compute()
{
if (vegaWeighted_)
{
double weightsSum = 0.0;
for (int i = 0; i < times_.Count; i++)
{
double stdDev = Math.Sqrt(blackVols_[i] * blackVols_[i] * times_[i]);
// when strike==forward, the blackFormulaStdDevDerivative becomes
weights_[i] = new CumulativeNormalDistribution().derivative(.5 * stdDev);
weightsSum += weights_[i];
}
// weight normalization
for (int i = 0; i < times_.Count; i++)
{
weights_[i] /= weightsSum;
}
}
// there is nothing to optimize
if (aIsFixed_ && bIsFixed_ && cIsFixed_ && dIsFixed_)
{
abcdEndCriteria_ = QLCore.EndCriteria.Type.None;
return;
}
else
{
AbcdError costFunction = new AbcdError(this);
transformation_ = new AbcdParametersTransformation();
Vector guess = new Vector(4);
guess[0] = a_;
guess[1] = b_;
guess[2] = c_;
guess[3] = d_;
List <bool> parameterAreFixed = new InitializedList <bool>(4);
parameterAreFixed[0] = aIsFixed_;
parameterAreFixed[1] = bIsFixed_;
parameterAreFixed[2] = cIsFixed_;
parameterAreFixed[3] = dIsFixed_;
Vector inversedTransformatedGuess = new Vector(transformation_.inverse(guess));
ProjectedCostFunction projectedAbcdCostFunction = new ProjectedCostFunction(costFunction,
inversedTransformatedGuess, parameterAreFixed);
Vector projectedGuess = new Vector(projectedAbcdCostFunction.project(inversedTransformatedGuess));
NoConstraint constraint = new NoConstraint();
Problem problem = new Problem(projectedAbcdCostFunction, constraint, projectedGuess);
abcdEndCriteria_ = optMethod_.minimize(problem, endCriteria_);
Vector projectedResult = new Vector(problem.currentValue());
Vector transfResult = new Vector(projectedAbcdCostFunction.include(projectedResult));
Vector result = transformation_.direct(transfResult);
QLCore.AbcdMathFunction.validate(a_, b_, c_, d_);
a_ = result[0];
b_ = result[1];
c_ = result[2];
d_ = result[3];
}
}