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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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#include <tapcorrelations.hpp>
Inheritance diagram for FrobeniusCostFunction:
Collaboration diagram for FrobeniusCostFunction:Public Member Functions | |
| FrobeniusCostFunction (Matrix target, std::function< Matrix(const Array &, Size, Size)> f, Size matrixSize, Size rank) | |
| Real | value (const Array &x) const override |
| method to overload to compute the cost function value in x More... | |
| Array | values (const Array &x) const override |
| method to overload to compute the cost function values in x More... | |
Public Member Functions inherited from CostFunction | |
| virtual | ~CostFunction ()=default |
| virtual Real | value (const Array &x) const |
| method to overload to compute the cost function value in x More... | |
| virtual Array | values (const Array &x) const =0 |
| method to overload to compute the cost function values in x More... | |
| virtual void | gradient (Array &grad, const Array &x) const |
| method to overload to compute grad_f, the first derivative of More... | |
| virtual Real | valueAndGradient (Array &grad, const Array &x) const |
| method to overload to compute grad_f, the first derivative of More... | |
| virtual void | jacobian (Matrix &jac, const Array &x) const |
| method to overload to compute J_f, the jacobian of More... | |
| virtual Array | valuesAndJacobian (Matrix &jac, const Array &x) const |
| method to overload to compute J_f, the jacobian of More... | |
| virtual Real | finiteDifferenceEpsilon () const |
| Default epsilon for finite difference method : More... | |
Private Attributes | |
| Matrix | target_ |
| std::function< Matrix(const Array &, Size, Size)> | f_ |
| Size | matrixSize_ |
| Size | rank_ |
Definition at line 88 of file tapcorrelations.hpp.
| FrobeniusCostFunction | ( | Matrix | target, |
| std::function< Matrix(const Array &, Size, Size)> | f, | ||
| Size | matrixSize, | ||
| Size | rank | ||
| ) |
Definition at line 90 of file tapcorrelations.hpp.
method to overload to compute the cost function value in x
Reimplemented from CostFunction.
Definition at line 126 of file tapcorrelations.cpp.
Here is the call graph for this function:method to overload to compute the cost function values in x
Implements CostFunction.
Definition at line 131 of file tapcorrelations.cpp.
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private |
Definition at line 99 of file tapcorrelations.hpp.
Definition at line 100 of file tapcorrelations.hpp.
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private |
Definition at line 101 of file tapcorrelations.hpp.
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private |
Definition at line 102 of file tapcorrelations.hpp.