LevenbergMarquardt

NAME

LevenbergMarquardt − Levenberg-Marquardt optimization method.

SYNOPSIS

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

Inherits OptimizationMethod.

Public Member Functions

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

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 (oder 2, but requiring more function evaluations) compared to the forward difference implemented here (order 1).

Examples:

BermudanSwaption.cpp.

Author

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