Re: [Quantlib-dev] Optimization of Brent Solver

[Luigi B. <lui...@gm...>]

Hi Sebastian,
    I applied the patch to the repository.  Thanks!

Luigi

On Thu, Jul 26, 2012 at 4:30 PM, Sebastian Poloczek
<Seb...@gm...> wrote:
>
> Hi,
>
> it seems that in the current implementation of Brent solver the commited
> guess value is not used at all. The method Solver1D::solve(const F& f, Real
> accuracy, Real guess, Real xMin, Real xMax) does set root_ = guess. The next
> command line calls the solver ( return this->impl().solveImpl(f, accuracy);
> ).
>
> In case of the Brent solver the function Brent::solveImpl(const F& f, eal
> xAccuracy) is called. At the beginning of this function root_ is reset to
> xMax_: root_ = xMax_ and the guess value is lost.
>
> Especially Brent Solver is used in the iterativebootstrap class. In case of
> the "discounting version" the guess for the next discount factor is
> calculated by extrapolating the already bootstrapped curve. This is simple,
> yet quite efficient. In the current Brent solver implementation this guessed
> value is lost. To improve this the following codechange seems to work:
>
>       // guess is ignored in current implementation... this should improve
> the solver performance
>       froot = f(root_);
>       if (froot * fxMin_ < 0){
>              xMax_ = xMin_;
>         fxMax_ = fxMin_;
>       }
>       else {
>         xMin_ = xMax_;
>         fxMin_ = fxMax_;
>       }
>       e=d=root_- xMax_;
>
>    instead of the existing lines:
>    root_ = xMax_;
>    froot = fxMax_;
>
> In the case of yield curve bootstrapping I get a speed benefit of about 45%
> ( 100000 bootstrap calculations of the same curve using both
> implementations). Calculated discount factors are (of course) identical in
> both cases.
>
> Regards
> Sebastian
>
> --
> View this message in context: http://old.nabble.com/Optimization-of-Brent-Solver-tp34215920p34215920.html
> Sent from the quantlib-dev mailing list archive at Nabble.com.
>
>
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