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When we specify the SDE with dimension greater than one and simulate under Euler Scheme, we will have the following errors.
~/anaconda/envs/py36dev/lib/python3.6/site-packages/tf_quant_finance/mo…
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I am having an issue where R crashes after the bounds are obtained by Gurobi (seen via `debug = T`). The last output on the log file is the solution to the upper bound problem - I do not make it far e…
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@cblandhol and I are both running into some memory issues when calculating the moments. These memory issues seem to result from a combination of sample size, the number of moments, and how involved th…
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The grid generation in `TreeSupport::generateContactPoints()` claims to be creating a grid pattern at an angle of 22 degrees but what the code actually does is different.
The code as it stands:
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bjude updated
5 years ago
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Hello,
Sometimes it is useful to provide a different starting point to the Halton sequence used in min_energy_nodes. The attached patch adds option start to min_energy_nodes and rejection_sampling,…
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I ran the same specification twice but with different `initgrid.nu` and `initgrid.nx` values, and I obtained significantly different results:
- `initgrid.nu = 200, initgrid.nx = 40`: [-0.159, 0.143…
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It looks like possibly the lowest hanging fruit in terms of providing the user with options for the optimization strategy, and improving the results that come from uniform standards, have to do with q…
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This may be related to my confusion in #41 , but I think it's a different issue.
In the audit procedure it looks like additional points to be added to the grid are generated _randomly_:
https://gi…
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Is it possible? Or will it be added?
Great work, btw.
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Right now it looks like this:
```
Obtaining propensity scores...
Generating target moments...
Integrating terms for control group...
Integrating terms for treated group...
Genera…