QuantLib: LevenbergMarquardt Class Reference

Levenberg-Marquardt optimization method. More...

#include <ql/math/optimization/levenbergmarquardt.hpp>

Inheritance diagram for LevenbergMarquardt:

Public Member Functions
	LevenbergMarquardt (Real epsfcn=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8, bool useCostFunctionsJacobian=false)
EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria) override
	minimize the optimization problem P
virtual Integer	getInfo () const
void	fcn (int m, int n, Real x, Real fvec, int *)
void	jacFcn (int m, int n, Real x, Real fjac, int *)

Detailed Description

Levenberg-Marquardt optimization method.

This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz) It has a built in fd scheme to compute the jacobian, which is used by default. If useCostFunctionsJacobian is true the corresponding method in the cost function of the problem is used instead. Note that the default implementation of the jacobian in CostFunction uses a central difference (order 2, but requiring more function evaluations) compared to the forward difference implemented here (order 1).

Examples: BermudanSwaption.cpp, and Gaussian1dModels.cpp.

Member Function Documentation

◆ minimize()

EndCriteria::Type minimize	(	Problem &	P,
		const EndCriteria &	endCriteria )

overridevirtual

minimize the optimization problem P

Implements OptimizationMethod.

◆ getInfo()

virtual Integer getInfo ( ) const

virtual

Deprecated: Don't use this method; inspect the result of minimize instead. Deprecated in version 1.36.

◆ fcn()

void fcn	(	int	m,
		int	n,
		Real *	x,
		Real *	fvec,
		int *	)

Deprecated: Don't use this method; it is for internal use. Deprecated in version 1.37.

◆ jacFcn()

void jacFcn	(	int	m,
		int	n,
		Real *	x,
		Real *	fjac,
		int *	)