On Monday, 22 December 2014 at 21:39:08 UTC, Marc Sch├╝tz wrote:
On Monday, 22 December 2014 at 20:46:23 UTC, bachmeier wrote:
It's been ages since I read the paper, but there is a parallel version of Nelder-Mead that is supposed to give very large performance improvements, even when used on a single processor:


http://www.cs.ucsb.edu/~kyleklein/publications/neldermead.pdf

It is not difficult to implement. I may look into modifying your code to implement it when I get some time.

It will certainly also be advantageous to pass the functions as aliases, so that they can get inlined.

Thanks, Marc. I appreciate the pointer, and if you do have time to look at the code. I confess that it can't really be called my own implementation as I simply ported it to D. There is some more clever stuff within quantlib (c++ project), but I quite liked the idea of starting with this one as it is simple, and speed is not yet vital at this stage.


Laeeth.

Reply via email to