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Optimal exponential smoothing: Why is NMinimize so slow?

Posted 11 years ago
POSTED BY: Michael Puhle
4 Replies
POSTED BY: Daniel Lichtblau
Posted 11 years ago
POSTED BY: Michael Puhle
Posted 11 years ago

Thanks for looking into this Frank! I also thought about Simplify before, but unfortunately it doesn't scale. If you generate a path of length 1,000 then

Simplify[smooth] 

takes forever (I aborted the evaluation). And a time series sample of size 1,000 isn't even large (approx. 1 day of 1 minute bars).... Do you have any other ideas?

POSTED BY: Michael Puhle
smooths = Simplify[smooth];

NMinimize[Total[(Drop[returns, 1] - Drop[smooths, -1])^2], a]

takes a little less than two seconds on my computer, compared to 15 seconds using smooth.

POSTED BY: Frank Kampas
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