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April 10th, 2021, 6:37 pm
Forum: Numerical Methods Forum
Topic: Scaling input data to make QP problem stable
Replies: 8
Views: 827

Re: Scaling input data to make QP problem stable

1. I want to find minimum of function  $$0.5y^TWy - a^TWy$$ with constraints $$C_1B^{-1}y >= b_1, C_2y>=b_2$$ Input values: x (for matrix B), a (initial approximation), W diagonal matrix of positive weights. 2. It's an iterative dual space algorithm with active constraints set. I use some precision ...
April 7th, 2021, 11:49 pm
Forum: Numerical Methods Forum
Topic: Scaling input data to make QP problem stable
Replies: 8
Views: 827

Re: Scaling input data to make QP problem stable

0. What is "QP"?
April 5th, 2021, 8:04 pm
Forum: Numerical Methods Forum
Topic: Scaling input data to make QP problem stable
Replies: 8
Views: 827

Scaling input data to make QP problem stable

Is there some theory about how  inputs data should be scaled to make QP problem numerical stable?  I have coded QP solver. To make this solver work stable for different input data I scale input values. I use several heuristics and they almost always works. But I cannot find books and papers with pro...
October 31st, 2020, 6:34 pm
Forum: Numerical Methods Forum
Topic: alternative to cubic splines
Replies: 21
Views: 3025

Re: alternative to cubic splines

Akima Hyman-Dougherty Thanks!   "Akima" has a lot of meanings in google, could you provide more details please? I found this paper https://www.researchgate.net/publication/230676080_Nonnegativity-_Monotonicity-_or_Convexity-Preserving_Cubic_and_Quintic_Hermite_Interpolation (I haven't loo...
October 27th, 2020, 12:29 pm
Forum: Numerical Methods Forum
Topic: alternative to cubic splines
Replies: 21
Views: 3025

Re: alternative to cubic splines

Thanks! I'll see it.
October 27th, 2020, 12:27 pm
Forum: Numerical Methods Forum
Topic: alternative to cubic splines
Replies: 21
Views: 3025

Re: alternative to cubic splines

Akima Hyman-Dougherty Thanks!   "Akima" has a lot of meanings in google, could you provide more details please? I found this paper https://www.researchgate.net/publication/230676080_Nonnegativity-_Monotonicity-_or_Convexity-Preserving_Cubic_and_Quintic_Hermite_Interpolation (I haven't loo...
October 25th, 2020, 1:22 pm
Forum: Numerical Methods Forum
Topic: alternative to cubic splines
Replies: 21
Views: 3025

Re: alternative to cubic splines

Your application may or may not be related to yield curve fitting, but either way this classic from the Great Dane is worth a look: https://papers.ssrn.com/sol3/papers.cfm ... _id=871088
Thanks for the paper! It is very interesting.
October 24th, 2020, 10:02 pm
Forum: Numerical Methods Forum
Topic: alternative to cubic splines
Replies: 21
Views: 3025

alternative to cubic splines

Could someone suggest interpolation algorithm alternative to cubic splines? Interpolated function has to be continuous, with continuous first differential and perfect fit with input data.