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fix: recognize projected-gradient convergence in diffusion MLE - #35

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dancixx merged 4 commits into
rust-dd:mainfrom
jolars:refactor/basin-levenberg-marquardt
Sep 19, 2026
Merged

dancixx merged 4 commits into
rust-dd:mainfrom
jolars:refactor/basin-levenberg-marquardt

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@jolars

@jolars jolars commented Sep 14, 2026

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Treat Basin's ProjectedGradientTolerance as successful MLE convergence. A fit that starts at the Brownian drift optimum previously returned converged=false despite terminating successfully without an iteration; it now reports converged=true and keeps the optimum parameters.

The regression checks the convergence flag, zero iterations and both returned and model parameters. All 278 stats unit tests pass. The branch is reconciled with the ndarray/faer calibrators and their layout/SVD fixes.

Upgrade `basin` to 1.11 and replace `levenberg-marquardt` across
calibration, volatility surfaces, and AI surrogates. Preserve evaluation
budgets and report the best accepted fit on failures.

Add convergence fixtures and Criterion comparisons. Use bounded CGMYSV
coordinates to retain convergence, preserve negative-sigma SVI fits,
and remove unused BSM history allocations.

The measured fits retain their accuracy. Six benchmark cases improve,
Heston stays within noise, and variance gamma remains about 3% slower.

Closes rust-dd#33
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vercel Bot commented Sep 14, 2026

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@jolars is attempting to deploy a commit to the GymPiper Team on Vercel.

A member of the Team first needs to authorize it.

@dancixx dancixx changed the title refactor: migrate least-squares fits to basin fix: recognize projected-gradient convergence in diffusion MLE Sep 19, 2026
@dancixx
dancixx merged commit 727a022 into rust-dd:main Sep 19, 2026
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2 participants