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0.8.0 Speed (convergence)

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@mattwigway mattwigway released this 27 Jan 23:49
· 11 commits to main since this release
0.8.0
8418360

Two changes to make price convergence ~30% faster:

  1. Use a Brent's search to find the optimal alpha value for a particular derivative matrix, since computing the derivative matrix is so expensive.
  2. Run 3 iterations of the cheaper but incorrect Jacobian diagonal approach (Tra 2007, eq. 7.7a) to get us close to the solution quickly before switching to the slower but higher-quality full Jacobian calculation (h/t @samzhang111)