LevenbergMarquardt Class Reference

#include <ql/Optimization/levenbergmarquardt.hpp>

Inheritance diagram for LevenbergMarquardt:

Inheritance graph
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List of all members.

Detailed Description

Levenberg-Marquardt optimization method.

This implementation is based on MINPACK (<http://www.netlib.org/minpack>, <http://www.netlib.org/cephes/linalg.tgz>)

Examples:

BermudanSwaption.cpp.


Public Member Functions

 LevenbergMarquardt (Real epsfcn=1e-8, Real ftol=1e-8, Real xtol=1e-8, Real gtol=1e-8, Size maxfev=400)
void minimize (const Problem &P) const
 minimize the optimization problem P
virtual Integer getInfo () const

Static Public Member Functions

static void fcn (int m, int n, double *x, double *fvec, int *iflag)


Constructor & Destructor Documentation

LevenbergMarquardt ( Real  epsfcn = 1e-8,
Real  ftol = 1e-8,
Real  xtol = 1e-8,
Real  gtol = 1e-8,
Size  maxfev = 400 
)

Constructor taking as input the characteristic length and tolerance