Re: [Quantlib-dev] global optimizers

[Peter C. <pca...@gm...>]

Hi Dirk,

basically I agree. However we have to think about which dependencies
we want. There are also license issues I guess, GSL is copylefted (R
too ?), cplex is not free at all, is it ? Boost provides ODE solvers
but only in 53++. Questions like this. As long as the implementations
are done on solid ground and come with resonable unit tests (ups, I
should send some for the optimizer) it is not bad to have some
numerical firepower self contained in the library. I always liked it
at least.

Still you are right. I also sometimes thought, if some special
functions, rngs etc. could be changed to simple wrappers to boost.

Peter


On 30 November 2013 15:11, Dirk Eddelbuettel <ed...@de...> wrote:
>
> On 22 November 2013 at 21:58, Peter Caspers wrote:
> | Hi,
> |
> |    picking up the topic "global optimization" which was mentioned recently
> | on the quantlib user conference I added an experimental simulated
> | annealing optimizer here
> |
> | https://github.com/lballabio/quantlib/pull/57
> |
> | which is a reimplementation from the one in Numerical Recipes, 2nd ed.
>
> Nice.
>
> | I do not have real use cases at the moment. However I tried it with the
> | toy example minimizing
> |
> | f(x,y) = (2.0+sin(x)*sin(y))*(x*x+y*y)
> |
> | starting at (10,20) with (a rather unfavorable) lambda = 1 for building
> | the initial simplex. A start temperature of 1000.0 and 500 moves for
> | cooling down to zero finds the global optimum at (0,0) in 667
> | iterations. The success is obviously dependent on suitable parameters
> | though.
> |
> | DifferentialEvolution which is already available in the library does
> | also find the minimum. It needs 5900 iterations in my experiment, but
> | works out of the box with the standard configuration.
>
> The bigger question is whether QL should venture into re-implementing topics
> that are well-understood and provided by other domains?
>
> Eg R comes with five optimizers built in [as options to function optim()],
> yet people keep contributing new ones:
>
>    http://cran.r-project.org/web/views/Optimization.html
>
> It's a tough call. There is definitely a use case for optimization, but maybe
> a 'hook' (to the GSL, some coin-or algo, cplex, ... ) may be better in the
> long run?
>
> Dirk
>
> --
> Dirk Eddelbuettel | ed...@de... | http://dirk.eddelbuettel.com