From 0047fa078d8cfe50cd2b56b011c7b3989e1085c3 Mon Sep 17 00:00:00 2001 From: Axel Nilsson Date: Sun, 25 Feb 2024 15:32:32 +0100 Subject: [PATCH] Speed improvement of GARCH model with Newton-CG instead of L-BFGS-B. --- src/abacus/models/garch.py | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) diff --git a/src/abacus/models/garch.py b/src/abacus/models/garch.py index f7f313f..a0e71f3 100644 --- a/src/abacus/models/garch.py +++ b/src/abacus/models/garch.py @@ -123,7 +123,7 @@ def _initiate_parameters(self): def _solve_maximum_likelihood(self): solution = minimize(self._cost_function, self._inital_solution, - method="L-BFGS-B", + method="Newton-CG", jac=True) self._solution = solution