LevenbergMarquardt Class Reference

Levenberg-Marquardt optimization method. More...

#include <levenbergmarquardt.hpp>

Inheritance diagram for LevenbergMarquardt:

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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 More...
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 *)
Public Member Functions inherited from OptimizationMethod
virtual	~OptimizationMethod ()=default
virtual EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria)=0
	minimize the optimization problem P More...

Private Member Functions
void	fcn (int m, int n, Real *x, Real *fvec)
void	jacFcn (int m, int n, Real *x, Real *fjac)

Private Attributes
Problem *	currentProblem_
Array	initCostValues_
Matrix	initJacobian_
Integer	info_ = 0
const Real	epsfcn_
const Real	xtol_
const Real	gtol_
const bool	useCostFunctionsJacobian_

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.

Definition at line 49 of file levenbergmarquardt.hpp.

Constructor & Destructor Documentation

LevenbergMarquardt()

LevenbergMarquardt	(	Real	epsfcn = 1.0e-8,
		Real	xtol = 1.0e-8,
		Real	gtol = 1.0e-8,
		bool	useCostFunctionsJacobian = false
	)

Definition at line 29 of file levenbergmarquardt.cpp.

Member Function Documentation

minimize()

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

overridevirtual

minimize the optimization problem P

Implements OptimizationMethod.

Definition at line 36 of file levenbergmarquardt.cpp.

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getInfo()

virtual Integer getInfo ( ) const

virtual

Deprecated:

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

Definition at line 62 of file levenbergmarquardt.hpp.

fcn() [1/2]

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.

Definition at line 68 of file levenbergmarquardt.hpp.

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jacFcn() [1/2]

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

Deprecated:

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

Definition at line 74 of file levenbergmarquardt.hpp.

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fcn() [2/2]

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

private

Definition at line 140 of file levenbergmarquardt.cpp.

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jacFcn() [2/2]

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

private

Definition at line 153 of file levenbergmarquardt.cpp.

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Member Data Documentation

currentProblem_

Problem* currentProblem_

private

Definition at line 79 of file levenbergmarquardt.hpp.

initCostValues_

Array initCostValues_

private

Definition at line 80 of file levenbergmarquardt.hpp.

initJacobian_

Matrix initJacobian_

private

Definition at line 81 of file levenbergmarquardt.hpp.

info_

Integer info_ = 0

mutableprivate

Definition at line 82 of file levenbergmarquardt.hpp.

epsfcn_

const Real epsfcn_

private

Definition at line 83 of file levenbergmarquardt.hpp.

xtol_

const Real xtol_

private

Definition at line 83 of file levenbergmarquardt.hpp.

gtol_

const Real gtol_

private

Definition at line 83 of file levenbergmarquardt.hpp.

useCostFunctionsJacobian_

const bool useCostFunctionsJacobian_

private

Definition at line 84 of file levenbergmarquardt.hpp.