Nonlinear least squares minimization, C/C++ Programming

Assignment Help:

Estimation of the yield curve using nonlinear least squares minimization: The last part of this assignment asks you to construct the Nelson Siegel yield curve from observed bond prices, by minimizing the mean squared error.

Unfortunately, the minimization problem, although mathematically simple, is computationally quite complex. We have studied several different methods for finding the roots of an equation that were easy to implement (e.g., the bisection method and the secant method). Finding roots of higher dimensional equations, however, is a whole different story and the same applies to function optimization (which the error minimization problem is an example of). Since the Nelson-Siegel yield curve depends on five parameters, we may therefore expect to work quite hard to implement a solver for this problem.

Fortunately - and this is often the case - this is a standard problem, which clever people have already solved. We can therefore use a predefined library that solves the minimization problem, using the so-called Levenberg-Marquardt nonlinear least squares solver.


Related Discussions:- Nonlinear least squares minimization

Structures, how to define the structures

how to define the structures

Basic data type in cpp, B a s i c D a t a t y p e : ...

B a s i c D a t a t y p e : T h e r e a r e t h r e e t y p e o f d a t a t y p e i n C+ + 1.       P r

OpenGL configured environment, 1. Using Visual C++ and your OpenGL co...

1. Using Visual C++ and your OpenGL configured environment, write an application that displays a “unique” graphical scene that you designed and coded for this course. What yo

Explain the working of array with strings, Explain the working of Array wit...

Explain the working of Array with Strings? A string is defined in C language as an array of characters. A null character (‘\0') is automatically added to the end of the charact

Variables within c, Within software languages we have the ability to store ...

Within software languages we have the ability to store information in mail boxes i.e. memory slots which are given names to represent the box. The naming rules are governed by the

Demonstration using moss open source machine translation, Demonstration usi...

Demonstration using Moss Open Source Machine Translation Project Description: Moses is an open source Statistical Machine Translation System. I need someone to provide me a d

Lexicographic permutation, Given an integer n and a permutation of numbers ...

Given an integer n and a permutation of numbers 1, 2 ... , n-1, n write a program to print the permutation that lexicographically precedes the given input permutation. If the given

Luminous Jewels - The Polishing Game, Byteland county is very famous for lu...

Byteland county is very famous for luminous jewels. Luminous jewels are used in making beautiful necklaces. A necklace consists of various luminous jewels of particular colour. Nec

Valid segments 1, Consider text comprised of sentences and sentences compri...

Consider text comprised of sentences and sentences comprised of words. Words in a sentence will be space delimited. Given a text and K strings, task is to find out the number valid

Write a program to calculate the average of ten numbers, Write a program to...

Write a program to calculate the average of ten numbers       #include stdio.h     /* Only this header is needed since only IO are used */     void main()     {          char

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd