Tag: optimization

Feed: R-bloggers. Author: sang-heon lee. #========================================================## Quantitative ALM, Financial Econometrics & Derivatives # ML/DL using R, Python, Tensorflow by Sang-Heon Lee ## https://kiandlee.blogspot.com#——————————————————–## Nelson-Siegel using nloptr function#========================================================#graphics.off(); rm(list = ls())library(nloptr)#———————————————–# objective function#———————————————–    objfunc – function(para, y, m) {        beta – para[1:3]; la – para[4]        C  – cbind(            rep(1,length(m)),                (1–exp(–la*m))/(la*m),                         (1–exp(–la*m))/(la*m)–exp(–la*m))        return(sqrt(mean((y – C%*%beta)^2)))    }#———————————————–# constraint function ( #———————————————–    # beta0 + beta1 > 0    constfunc – function(para, y, m) {        beta  – para[1:3]        lhs   – –beta[1]–beta[2]        return(lhs)    }#=======================================================# 1. Read data#=======================================================    # b1, b2, b3, lambda, rmse for comparisons    ns_reg_para_rmse1 – c(        4.26219396, –4.08609206, –4.90893865,          0.02722607,  0.04883786)    ns_reg_para_rmse2 – c(        4.97628654, –4.75365297, –6.40263059,          0.05046789,  0.04157326)    str.zero – “        mat     rate1      rate2        3       0.0781     0.0591        6       0.1192     0.0931        9       0.1579     0.1270        12      0.1893     0.1654        24      0.2669     0.3919        36      0.3831     0.8192        48      0.5489     1.3242        60      0.7371     1.7623        72      0.9523     2.1495        84      1.1936     2.4994        96      1.4275     2.7740        108     1.6424     2.9798        120     1.8326     3.1662        144     2.1715     3.4829        180     2.5489     3.7827        240     2.8093     3.9696″    df – read.table(text = str.zero, header=TRUE)    m  – df$mat    y1 – df$rate1; y2 – df$rate2#=======================================================# 2. Nonlinear least squares with constraints#=======================================================    # Set optimization options.    opts – list(“algorithm”   = “NLOPT_GN_ISRES”,                 “xtol_rel”    = 1.0e–16,                 “maxeval”     = 500000,                 “print_level” = 1 )    #———————————————    # NS estimation with 1st data    #———————————————    y – y1    x_init – c(y[16], y[1]–y[16],                 2*y[6]–y[1]–y[16], 0.0609)    m_nloptr – nloptr(        x0 = x_init, y = y, m = m,        eval_f      = objfunc,         eval_g_ineq = constfunc,        # beta0 > 0, 0.01         lb   = c( 0,–30,–30, 0.001),         ub   = c(30, 30, 30,   0.1),        opts = opts    )    ns_nloptr_out1 – c(m_nloptr$solution,                         m_nloptr$objective)    #———————————————    # NS estimation with 2nd data    #———————————————    y – y2    x_init – c(y[16], y[1]–y[16],                 2*y[6]–y[1]–y[16], 0.0609)    m_nloptr – nloptr(        x0 = x_init, y = y, m = m,         eval_f      = objfunc,         eval_g_ineq = constfunc,        # beta0 > 0, 0.01         lb   = c( 0,–30,–30, 0.001),         ub   = c(30, 30, 30,   0.1),        opts = opts    )    ns_nloptr_out2 – c(m_nloptr$solution,                         m_nloptr$objective)#=======================================================# 3. Results and Comparisons#=======================================================    ns_reg_para_rmse1    ns_nloptr_out1    ns_reg_para_rmse2    ns_nloptr_out2 ... Read More

Feed: Planet PostgreSQL. IntroductionThe PostgreSQL optimizer is an amazing thing, getting only more amazing with each release. It is able to take information about your data definitions, your data distribution, constraints, and the specific queries and come up with the generally most efficient way to return the results of that query. Since SQL is a declarative language, we're explicitly giving up defining how the database determines the results and trusting it to get the correct results in whatever method it deems most efficient. Sometimes we can structure queries in a certain way to get a better result than we get ... Read More

Feed: SAS Blogs. Author: Rick Wicklin. A previous article showed how to use SAS to compute finite-difference derivatives of smooth vector-valued multivariate functions. The article uses the NLPFDD subroutine in SAS/IML to compute the finite-difference derivatives. The article states that the third output argument of the NLPFDD subroutine "contains the matrix product J`*J, where J is the Jacobian matrix. This product is used in some numerical methods, such as the Gauss-Newton algorithm, to minimize the value of a vector-valued function." This article expands on that statement and shows that you can use the SAS/IML matrix language to implement ... Read More

Feed: Planet MySQL; Author: Oracle MySQL Group; MySQL Query Optimization is usually simple engineering. But seeking information about how to tune queries is treated on many web reference sites like some Harry Potter-ish spell casting. There are simple tips you need to be aware of to get the best of your queries ... Read More

Feed: Planet PostgreSQL. Jupiter's moon Io. Credit: ALMA (ESO/NAOJ/NRAO), I. de Pater et al.; NRAO/AUI NSF, S. Dagnello; NASA/JPL/Space Science InstituteSQL query optimization is challenging for those who have just started working with PostgreSQL. There are many objective reasons for this, such as:the difficulty of the field of system performance in general,lack of good "playground" environments where people can experience how databases work at a larger scale,lack of certain capabilities in Postgres observability tools that are still developing (though, at a good pace),insufficiency of good educational materials.All these barriers are reasonable. They limit the number of engineers possessing well-developed Postgres ... Read More

Feed: Recent Announcements. AWS Trusted Advisor now supports new recommendations that help you simplify your SQL Server optimization on Amazon EC2. The checks inspect your SQL Server workloads and automatically lists your SQL Server instances that need optimization. You can then take recommended actions to reduce costs and improve security. You can find the details of the three checks below. 1. Amazon EC2 Instances with Microsoft SQL Server End of Support - Checks the SQL Server versions for Amazon EC2 instances and alerts you if the versions are near or have reached the end of support. For example, SQL Server ... Read More

Feed: Top Blog Posts. Author: Saajan Sharma. Data science is one of the hottest topics in the market nowadays. It is one of those industries that has revolutionized the world. It associates two chief technologies, big data and artificial intelligence, and utilizes them to examine and process datasets. It also uses machine learning, which helps to strengthen artificial intelligence. Data science has thoroughly improved and modernized every industry it has touched, including marketing, finance, social media, SEO, etc. If you wish to excel in your profession, there is a high chance you will have to use data science with python. Data ... Read More

Feed: Top Blog Posts. Author: Saajan Sharma. Data science is one of the hottest topics in the market nowadays. It is one of those industries that has revolutionized the world. It associates two chief technologies, big data and artificial intelligence, and utilizes them to examine and process datasets. It also uses machine learning, which helps to strengthen artificial intelligence. Data science has thoroughly improved and modernized every industry it has touched, including marketing, finance, social media, SEO, etc. If you wish to excel in your profession, there is a high chance you will have to use data science with python. Data ... Read More

Feed: Top Blog Posts. Author: Saajan Sharma. Data science is one of the hottest topics in the market nowadays. It is one of those industries that has revolutionized the world. It associates two chief technologies, big data and artificial intelligence, and utilizes them to examine and process datasets. It also uses machine learning, which helps to strengthen artificial intelligence. Data science has thoroughly improved and modernized every industry it has touched, including marketing, finance, social media, SEO, etc. If you wish to excel in your profession, there is a high chance you will have to use data science with python. Data ... Read More

Feed: Recent Announcements. AWS Lake Formation is excited to announce the general availability of three new capabilities that simplify building, securing, and managing data lakes. First, Lake Formation Governed Tables, a new type of table on Amazon S3, that simplifies building resilient data pipelines with multi-table transaction support. As data is added or changed, Lake Formation automatically manages conflicts and errors to ensure that all users see a consistent view of the data. This eliminates the need for customers to create custom error handling code or batch their updates. Second, Governed Tables monitor and automatically optimize how data is stored so ... Read More