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Implement numba'd conjugate gradient minimiser #59

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domokane opened this issue Jan 2, 2021 · 4 comments
Open

Implement numba'd conjugate gradient minimiser #59

domokane opened this issue Jan 2, 2021 · 4 comments
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Algorithm specialist enhancement New feature or request good first issue Good for newcomers

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@domokane
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domokane commented Jan 2, 2021

The conjugate gradient descent algorithm in scipy is slow and prevents the calling function from being jitted by numba. Idea is to find a python version of the CG minimiser that can be jitted to give faster minimisations.
@domokane domokane added Algorithm specialist enhancement New feature or request good first issue Good for newcomers labels Jan 10, 2021
@idorrington92
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I'd be happy to have a go at this

@domokane
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domokane commented Apr 3, 2023

I am not sure this is still needed. Look in utils at solver_cg.py and solver_nm.py to see the functions that were added and where they are used to see if everything is as fast as it can be. I had lots of issues with numba but I think they now work. But I have sort of forgotten so I am not 100% sure.

@idorrington92
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idorrington92 commented Apr 3, 2023 •
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I saw solver_cg but it didn't look like it was being used anywhere... and it looks like equity_vol_surface (and others) are using the scipy solver. Though it looks like it tries solver_nm and only uses scipy's CG when that fails to converge (or when the user specifies to use it).

@domokane
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domokane commented Apr 3, 2023

Yes. My main focus was on the FX surface solver. If you see a need to work on it let me know. I am jammed on other things right now but if there is stuff to be done on this it would be very helpful.

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@domokane @idorrington92