max no. of function evaluation VS. iterations
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From: Jason Park on 24 Mar 2010 23:40 Thanks for your reply. Mine has about 600 data points with roughly 120 variables/parameters to estimate out of daily calibration. x.^2 is the objective function I'd like to minimise but x is defined as the difference between model and market prices, and my model has QUADL to evaluation and a couple of loops within, and that's why I think it's taking as much. What is worse is that I have 13 of them, and hence I am going to book the high-performance computer to run them faster in a parallel manner. I am not sure when that will finally reach convergence, and that's why I was asking you how many iterations are standard. I will probably wait for another day, and if that doesn't work, I will kill that and pass the OPTIMSET function in to briefly check whether it anyway returns estimates in a reasonable range or errors. When some questions I've sent through to your email are answered, I can do it with some better idea what may be going on inside that. I Can't thank enough, Jason |