Lecture Computational Finance 2 / Appl. Math. Fin. 23-1: Levenberg-Marquardt Optimizer
Channel: finmath
Date: 2021-02-26

Lecture on Computational Finance 2 / Applied Mathematical Finance and its Object Oriented Implementation. Session 23 Part 1: Levenberg-Marquardt Optimizer

A short session on the Levenberg-Marquardt Optimizer.

- Levenberg-Marquardt Optimizer
  - Motivation: Calibration
  - Tikhonov Regularization
  - Levenberg-Marquardt Algorithm
  - Java Code