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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Cost function for least-square problems. More...
#include <leastsquare.hpp>
Inheritance diagram for LeastSquareFunction:
Collaboration diagram for LeastSquareFunction:Public Member Functions | |
| LeastSquareFunction (LeastSquareProblem &lsp) | |
| Default constructor. More... | |
| ~LeastSquareFunction () override=default | |
| Destructor. More... | |
| Real | value (const Array &x) const override |
| compute value of the least square function More... | |
| Array | values (const Array &) const override |
| method to overload to compute the cost function values in x More... | |
| void | gradient (Array &grad_f, const Array &x) const override |
| compute vector of derivatives of the least square function More... | |
| Real | valueAndGradient (Array &grad_f, const Array &x) const override |
| compute value and gradient of the least square function 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... | |
Protected Attributes | |
| LeastSquareProblem & | lsp_ |
| least square problem More... | |
Cost function for least-square problems.
Implements a cost function using the interface provided by the LeastSquareProblem class.
Definition at line 60 of file leastsquare.hpp.
| LeastSquareFunction | ( | LeastSquareProblem & | lsp | ) |
Default constructor.
Definition at line 63 of file leastsquare.hpp.
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overridedefault |
Destructor.
compute value of the least square function
Reimplemented from CostFunction.
Definition at line 28 of file leastsquare.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 39 of file leastsquare.cpp.
Here is the call graph for this function:compute vector of derivatives of the least square function
Reimplemented from CostFunction.
Definition at line 49 of file leastsquare.cpp.
Here is the call graph for this function:compute value and gradient of the least square function
Reimplemented from CostFunction.
Definition at line 63 of file leastsquare.cpp.
Here is the call graph for this function:
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protected |
least square problem
Definition at line 77 of file leastsquare.hpp.