Finance Notes_Part_3

Finance Notes_Part_3 - What can we solve With the current...

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Unformatted text preview: What can we solve With the current state-of-the-art DFO methods one can expect to successfully address problems where: The evaluation of the function is expensive and/or computed with noise (and for which accurate finite-difference derivative estimation is prohibitive and automatic differentiation is ruled out). The number of variables does not exceed, say, a hundred (in serial computation). The functions are not excessively non-smooth. Rapid asymptotic convergence is not of primary importance. Only a few digits of accuracy are required. Audet and Vicente (SIOPT 2008) Introduction 13/109 What can we solve In addition we can expect to solve problems: With hundreds of variables using a parallel environment or exploiting problem information. With a few integer or categorical variables. With a moderate level of multimodality: It is hard to minimize non-convex functions without derivatives. However, it is generally accepted that derivative-free optimization methods have the ability to find ‘good’ local optima...
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This document was uploaded on 10/30/2011 for the course FIN 3403 at University of Florida.

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Finance Notes_Part_3 - What can we solve With the current...

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