0.8.0 Speed (convergence)
Two changes to make price convergence ~30% faster:
- Use a Brent's search to find the optimal alpha value for a particular derivative matrix, since computing the derivative matrix is so expensive.
- 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)