The email dropped the attached file. Here is the test case code, we use
commons-math3-3.2.
Andrew
import org.apache.commons.math3.analysis.MultivariateFunction;
import org.apache.commons.math3.distribution.NormalDistribution;
import org.apache.commons.math3.optim.InitialGuess;
import org.apache.commons.math3.optim.MaxEval;
import org.apache.commons.math3.optim.OptimizationData;
import org.apache.commons.math3.optim.PointValuePair;
import org.apache.commons.math3.optim.SimpleBounds;
import org.apache.commons.math3.optim.nonlinear.scalar.GoalType;
import org.apache.commons.math3.optim.nonlinear.scalar.ObjectiveFunction;
import
org.apache.commons.math3.optim.nonlinear.scalar.noderiv.BOBYQAOptimizer;
import org.junit.Test;
public class BOBYQAOptimizerTest {
@Test
public void test1() {
double[] x = new double[]{0.37215286535894443,
0.4648383826282711, 0.5806074387095237, 0.7252090414280923,
0.9058240020796098, 1.13142152933966, 1.413204633697474,
1.7651664608765416, 2.204785181358541};
double[] y = new double[]{-0.03858, -0.10265, -0.29995,
-0.94505, -3.13887, -10.66503, -35.8148, -114.73309, -339.44331};
double[] lower = new double[3];
double[] upper = new double[3];
double t1 = -511.14797785141417; //t1 is used to
transform the SwaptionBS function
lower[0] = -10.0*Math.abs(t1);
upper[0] = -lower[0];
lower[1] = 0.02;
upper[1] = 100.0;
lower[2] = 0.02;
upper[2] = 8.0;
double[] p = new double[]{1.0, 1.0, 0.2995887592309402};
LS ls = new LS(x,y, 1, -511.14797785141417);
OptimizationData[] parm = new OptimizationData[]{new
MaxEval(50000), new ObjectiveFunction(ls),
GoalType.MINIMIZE, new
InitialGuess(p), new SimpleBounds(lower, upper)};
BOBYQAOptimizer op = new BOBYQAOptimizer(10);
PointValuePair po = op.optimize(parm);
}
public static void main(String[] args) {
BOBYQAOptimizerTest t = new BOBYQAOptimizerTest();
t.test1();
}
}
class LS implements MultivariateFunction {
private BS bs = new BS();
private double[] x;
private double[] y;
private double const1;
private int optionType;
public LS(double[] x, double[] y, int optionType, double const1) {
this.x = x;
this.y = y;
this.optionType = optionType;
this.const1 = const1;
}
@Override
public double value(double point[]) {
int len = x.length;
double val = 0;
for (int i=0; i<len; i++) {
double yc = bs.f2(x[i], point[0]*const1, point[1],
point[2], optionType);
val += Math.pow(yc-y[i], 2);
}
return val;
}
}
class BS {
public double blackScholes(double price, double strike, double
time, double vol, int optionType) {
double volrootime = Math.pow(time, 0.5) * vol;
double topline1 = Math.log(price/strike);
double topline2 = Math.pow(vol, 2)/2* time;
double topline = topline1 + topline2;
double d1 = topline / volrootime;
double d2 = d1 - volrootime;
double val = 0.0;
NormalDistribution normal = new NormalDistribution();
if (optionType==1)
val = (price * normal.cumulativeProbability(d1) - strike *
normal.cumulativeProbability(d2));
else
val = (strike * normal.cumulativeProbability(-d2) - price
* normal.cumulativeProbability(-d1));
return val;
}
public double f2(double x, double ah, double ai, double aj, int
ak) {
return ah*bScore(x, ai, aj, ak);
}
public double bScore(double price, double strike, double vol, int
optionType) {
return blackScholes(price, strike, 1, vol, optionType);
}
}
From:
[email protected]
To:
"Commons Users List" <[email protected]>
Date:
12/18/2013 12:59 PM
Subject:
[math] BOBYQAOptimizer hang
I ran into a case that BOBYQAOptimizer hang in line 485. trsbox is pretty
complex method and I'm not familiar with the algorithm. It seems going
into infinite loop between different states.
final double[] dsqCrvmin = trsbox(delta, gnew, xbdi, s,
hs, hred);
Here is the test case for it. After reducing the value to <2.24 it hang in
trsbox method without progress.
Can someone shed light on what might be happening, and how to deal with
it? Thanks.
Andrew
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