forum.alglib.net

ALGLIB forum
It is currently Sun Jun 23, 2024 1:40 pm

All times are UTC


Forum rules


1. This forum can be used for discussion of both ALGLIB-related and general numerical analysis questions
2. This forum is English-only - postings in other languages will be removed.



Post new topic Reply to topic  [ 1 post ] 
Author Message
 Post subject: Levenberg Marquardt - Objective Function with const inputs
PostPosted: Thu Jul 20, 2023 3:07 pm 
Offline

Joined: Thu Jul 20, 2023 11:51 am
Posts: 1
I am completely new to ALGLIB. I have to find parameters for a function that also accepts multiple inputs for each observation. The function is an option pricing function that accepts time to expiry and strike Price and also the scalar flag to indicate if it is a Put or a Call. So, if I ahve 200 observed option prices over all expiries and deltas over the vol surface, I will have my function accept 3 constant vectors besides the parameter vector to be optimised. Parameters to be optimised also are box constrained such as correlations, mean reversion params and volatilities.

My MATLAB objective looks like this:

f = @(p)pricingFunc(p, tVec, consts(:,1), consts(:,2)) - y_dat_lm;

clearly p is the set of parameters to be found
tVec is the vector of time to expiry for each option price
consts(:,1), consts(:,2) are strike and PutCall flag vectors
y_dat_lm is the vector of market observed option Prices

How can this be done in ALGLIB for C++?
Is there a MultiStart method available with Non Linear Least squares Optimisation to counter local minima issues with high dimensional optimisation problems?

Will be very grateful for your help.


Top
 Profile  
 
Display posts from previous:  Sort by  
Post new topic Reply to topic  [ 1 post ] 

All times are UTC


Who is online

Users browsing this forum: No registered users and 7 guests


You cannot post new topics in this forum
You cannot reply to topics in this forum
You cannot edit your posts in this forum
You cannot delete your posts in this forum
You cannot post attachments in this forum

Search for:
Jump to:  
cron
Powered by phpBB © 2000, 2002, 2005, 2007 phpBB Group