14 Feb 2015
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The smoothness, convexity, of objective function is critical to success of optimization.
Visualizing an objective function is an easy and convenient way to check for smoothness.
For example, let’s check the Ulcer Index
, an alternative measure of risk, similar to Standard Deviation.
If the Ulcer Index
is a smooth function it can easily be used in optimization using for example a non-linear solver.
Above code creates a static surface plot that is hard to investigate.
To create interactive 3D plot that can be rotated with mouse, please use:
The Ulcer Index
looks smooth and is a suitable candidate for optimization.
(this report was produced on: 2015-02-15)