LevenbergMarquardt Class Reference

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

Inheritance diagram for LevenbergMarquardt:

Inheritance graph
[legend]
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=1.0e-8, Real xtol=1.0e-8, Real gtol=1.0e-8)
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
 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)