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From: Bianchetti M. <mar...@ca...> - 2007-05-23 16:18:42
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Hello, =20 at the moment are available into QuantLib the following optimizers: * Simplex (recently revisited: the Numerical Recipes implementation badly failed in finding the minimum of a 1D parabole...) * Levenberg-Marquardt * Conjugate Gradient * Steepest Descent (still to be debugged, work in progress) and we are currently considering the option to port into QuantLib the Broyden-Fletcher-Goldfarb-Shanno (BFGS2) algorithm, which in GSL is declared to be the best (see the text below). So: * Any comment on the choice of BFGS2? do anyone has experience with it ? * is anyone aware of an available open source C++ implementation to be ported into Quantlib with small effort ? Personally, I would prefer NOT to translate the GSL implementation from C to C++, because of the danger to introduce some tricky bug and because it requires a much more sophisticated test suite (and much work). =20 ciao Marco =20 --- from: http://www.gnu.org/software/gsl/manual/html_node/Multimin-Algorithms.htm l Minimizer: gsl_multimin_fdfminimizer_vector_bfgs2 Minimizer: gsl_multimin_fdfminimizer_vector_bfgs These methods use the vector Broyden-Fletcher-Goldfarb-Shanno (BFGS) algorithm. This is a quasi-Newton method which builds up an approximation to the second derivatives of the function f using the difference between successive gradient vectors. By combining the first and second derivatives the algorithm is able to take Newton-type steps towards the function minimum, assuming quadratic behavior in that region.=20 The bfgs2 version of this minimizer is the most efficient version available, and is a faithful implementation of the line minimization scheme described in Fletcher's Practical Methods of Optimization, Algorithms 2.6.2 and 2.6.4. It supercedes the original bfgs routine and requires substantially fewer function and gradient evaluations. The user-supplied tolerance tol corresponds to the parameter \sigma used by Fletcher. A value of 0.1 is recommended for typical use (larger values correspond to less accurate line searches).=20 |
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From: Ferdinando A. <na...@am...> - 2007-05-29 07:41:27
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I will simplify for sake of clarity, but since we've adopted the BSD license, nothing but BSD license is compatible with QuantLib. Anything else would restrict the user freedom. ciao -- Nando PS I'm fully aware of GPL being free and being even more effective in preserving freedom, but let's reserve this issue for another thread ;-) On 5/28/07, Luigi Ballabio <lui...@gm...> wrote: > > On May 28, 2007, at 6:54 PM, Bianchetti Marco wrote: > >> Though, I'm not absolutely sure that the terms of use are compatible > >> with those of QL. > > > > They look ok, any comment ? > > > > --- from http://www.alglib.net/copyrules.php --- > > 13. When using any kind of the Source Codes, the link to ALGLIB > > Project is regarded as obligatory. In particular, when distributing > > the software programs, which use Source Codes, through the Internet, > > it is obligatory to use the hyperlink to the www.alglib.net at each > > page of the website, which distributes the software programs. > > This looks problematic, especially since the QuantLib download page is > provided by Sourceforge without any way for us to provide such link. > Also a bit worrying is: > > > 4. The requirements, set out in this Document, may be altered at any > > time, without any provisional notification. The visitor shall agree > > either to act in compliance with the altered requirements, or withdraw > > from using the data, obtained within the framework of ALGLIB Project. > > Later, > Luigi > > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by DB2 Express > Download DB2 Express C - the FREE version of DB2 express and take > control of your XML. No limits. Just data. Click to get it now. > http://sourceforge.net/powerbar/db2/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: alglib <sha...@ya...> - 2007-06-03 11:43:22
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Hello! I've noticed your thread while checking indexing of alglib.net by Google. As the author of the ALGLIB project I can inform you that these terms of use are going to change to less restrictive and more clear open-source license. I just haven't decided yet what license best suits needs of programming community. As for you and your project, you can use BFGS (and/or L-BFGS) source code under BSD license (without any additional requirements). Best regards, Sergey Bochkanov. -- View this message in context: http://www.nabble.com/optimizers-tf3805081.html#a10935893 Sent from the quantlib-dev mailing list archive at Nabble.com. |
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From: Ferdinando A. <na...@am...> - 2007-06-04 09:48:18
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Hi Sergey, I'm not familiar with BFGS (and/or L-BFGS) and I can't find it in my personal authoritative reference: http://www.gnu.org/licenses/license-list.html It would be very nice to have ALGLIB not only open source, but also free software as in http://www.gnu.org/philosophy/free-sw.html In any case I can't see QuantLib depending on any software which is not free and/or not compatible with the GNU GPL ciao -- Nando On 6/3/07, alglib <sha...@ya...> wrote: > > Hello! > > I've noticed your thread while checking indexing of alglib.net by Google. > > As the author of the ALGLIB project I can inform you that these terms of use > are going to change to less restrictive and more clear open-source license. > I just haven't decided yet what license best suits needs of programming > community. As for you and your project, you can use BFGS (and/or L-BFGS) > source code under BSD license (without any additional requirements). > > Best regards, Sergey Bochkanov. > -- > View this message in context: http://www.nabble.com/optimizers-tf3805081.html#a10935893 > Sent from the quantlib-dev mailing list archive at Nabble.com. > > > ------------------------------------------------------------------------- > This SF.net email is sponsored by DB2 Express > Download DB2 Express C - the FREE version of DB2 express and take > control of your XML. No limits. Just data. Click to get it now. > http://sourceforge.net/powerbar/db2/ > _______________________________________________ > QuantLib-dev mailing list > Qua...@li... > https://lists.sourceforge.net/lists/listinfo/quantlib-dev > |
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From: alglib <sha...@ya...> - 2007-06-04 12:04:57
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Hello! BFGS stands for "Broyden-Fletcher-Goldfarb-Shanno". It is algorithm name, not license name. Original FORTRAN implementation of the L-BFGS algorithm was "freely available for educational or commercial purposes". As far as I can see it is compatible with BSD. I am not a lawyer but common sense tells me it is compatible. I've put some restrictions on the use of the translated code (which were discussed above), but if you wish, you can use it under BSD (QuantLib uses BSD, isn't it?). You have a nice project and I would be glag to help you. Ferdinando Ametrano wrote: > > Hi Sergey, > > I'm not familiar with BFGS (and/or L-BFGS) and I can't find it in my > personal authoritative reference: > http://www.gnu.org/licenses/license-list.html > > It would be very nice to have ALGLIB not only open source, but also > free software as in http://www.gnu.org/philosophy/free-sw.html > > In any case I can't see QuantLib depending on any software which is > not free and/or not compatible with the GNU GPL > > ciao -- Nando > > -- View this message in context: http://www.nabble.com/optimizers-tf3805081.html#a10948442 Sent from the quantlib-dev mailing list archive at Nabble.com. |
