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Optimizer.h File Reference


Detailed Description

BFGS, Downhill Simplex optimizers and global search along a Sobol sequence. The BFGS optimizer is modified so as to cope with objective functions with step function like qualities. Our main applications are expectations

where the random variable depends on the parameter vector u. Even if this function is smooth the smoothness is lost as soon as the expectation is computed as a finite sample mean.

The optimizers follow the ideas in Numerical Recipes with some modifications. If this works for you be thankful. Multidimensional optimization is a nontrivial undertaking and a high quality implementation requires a significant amount of effort and expertise. I have no expertise in this field.

We have only a single application in mind: parameter optimization for exercise triggers used to price Bermudan style options. Miraculously the code which we have here can do that.

Definition in file Optimizer.h.

#include "TypedefsMacros.h"
#include "Array.h"

Go to the source code of this file.

Namespaces

namespace  ObjectiveFunction

Compounds

class  Optimizer
class  DownhillSimplex
class  ConcreteDownhillSimplex
class  BFGS
class  ConcreteBFGS
class  SobolSearch
class  ConcreteSobolSearch


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