Levenberg Marquardt in Excel [Excel VBA]

http://www.quantcode.com/modules/mydownloads/...

Directory of Open Source for Quantitative Finance and Trading

Recruiters Code Papers Forum FAQ

Username:

Password: Not registered?

Links

My Account Home

Search Discussions

Contact

About

Jobs Seekers

Job Seekers

View Jobs My Resumes

Jobs By Location New York Chicago London Tokyo Singapore Canada Australia India Jobs by Programming Java C# .NET Matlab C++ Database Excel Jobs by Role Analyst Developer Structurer Junior Quant Senior Quant Strategist Rich Quant Jobs by Sector Hedge Fund Credit Derivatives Mortgage Trading Equity Derivates Front Oce Fixed Income Subscribe to RSS Feeds Latest Jobs

Quick Search: (AJAX based: No need to press button) Main : Excel :

Post Job

Category: Excel Levenberg Marquardt in Excel Submitter: vanna

View Full Details Date: 2009/4/4

Description: This class contains code to perform tting of function parameters using inputs of dependent and observed variables. It is translated from Fortran version of MINPACK.

Following is example usage of this class:

Dim levObj As New Levenberg res = levObj.CalibrateParameters("MyFunction", x, y, p)

where x : a vector of independent variables y : observed values p: vector of initial guess values for parameters MyFunction : name of VBA function which implements the fucntion f(x,p) res : output vector of calibrated parameter values eg., for a function f(x)=ax^2+bx+c:
Public Function MyFunction(params As Variant, x As Variant) As Variant a = params(1) b = params(2) c = params(3) m = UBound(x) ReDim function_values(1 To m) For i = 1 To m xi = x(i) function_values(i) = a * xi * xi + b * xi + c Next i MyFunction = function_values End Function

To check out an actual demo for usage, refer to Parameters calibration

1 sur 3

06/01/2013 11:50

Levenberg Marquardt in Excel [Excel VBA]

http://www.quantcode.com/modules/mydownloads/...

Latest Code Latest Papers

demo for Levenberg Marquardt algorithm Got a question or problem with this link? Just enter your message and click on submit. No registration is required.

Note: A copy of this message will also be emailed to the submitter of this link 3213 0 bytes Excel VBA http://www.quantcode.com/ Rating: 0.00 (0 votes) Rate this File | Modify | Delete | Report Broken File | Tell a Friend | Comments (20)

Poster Bazman76

Thread Posted: 2009/8/7 6:39 Updated: 2009/8/7 6:39 Re: Levenberg Marquardt in Excel Hi there, I am interested in using the function below. But I have never used classes in VBA before. Do I have to install part or all of the code into a class module? Are there any other dierences from using a normal VBA macro? Thanks Baz

Just popping in Joined: 2009/8/6 From: Posts: 4

Poster Bazman76

Thread Posted: 2009/8/17 9:53 Updated: 2009/8/17 9:53 Re: Levenberg Marquardt in Excel Please ignore previous post. The code works perfectly thank so much for this.

Just popping in Joined: 2009/8/6 From: Posts: 4

I have a couple of questions though: http://www.netlib.org/minpack/lmdif.f It says that the function lmdif uses a modication of the LM algorithm. Can someone please explain to me how this diers from standard LM algorithm. Also can someone point me to a good source that explains the theory behind this version of the algorithm. I have tried following the code but it is not always very clear what is happening.

Discuss this le. Just enter your message and click on submit. No

2 sur 3

06/01/2013 11:50

Levenberg Marquardt in Excel [Excel VBA]

http://www.quantcode.com/modules/mydownloads/...

registration is required.

Similar Links: Levenberg-Marquardt for Visual C++ 2005 (Software) Levenberg Marquardt for function minimization (Forum) Hull White model calibration using Levenberg Marquardt (Software) Example of using Levenberg Marquardt for Parameters calibration in Excel (Software) Levenberg-Marquardt nonlinear least squares algorithms in C/C++ (Software) Subscribe to RSS or daily email updates of latest quantitative nance code listings Email address : Copyright 2011 QuantCode Inc. All rights reserved.

3 sur 3

06/01/2013 11:50