Parameterized cost function. More...
#include <ql/math/optimization/projectedcostfunction.hpp>
Inheritance diagram for ProjectedCostFunction:
Collaboration diagram for ProjectedCostFunction:
Public Member Functions | |
| ProjectedCostFunction (const CostFunction &costFunction, const Array ¶meterValues, const std::vector< bool > &fixParameters) | |
| ProjectedCostFunction (const CostFunction &costFunction, const Projection &projection) | |
| 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... | |
| Public Member Functions inherited from Projection | |
| Projection (const Array ¶meterValues, std::vector< bool > fixParameters=std::vector< bool >()) | |
| virtual Array | project (const Array ¶meters) const |
| returns the subset of free parameters corresponding More... | |
| virtual Array | include (const Array &projectedParameters) const |
| returns whole set of parameters corresponding to the set More... | |
| virtual | ~Projection ()=default |
CostFunction interface | |
| const CostFunction & | costFunction_ |
| Real | value (const Array &freeParameters) const override |
| method to overload to compute the cost function value in x More... | |
| Array | values (const Array &freeParameters) const override |
| method to overload to compute the cost function values in x More... | |
Additional Inherited Members | |
| Protected Member Functions inherited from Projection | |
| void | mapFreeParameters (const Array ¶meterValues) const |
| Protected Attributes inherited from Projection | |
| Size | numberOfFreeParameters_ = 0 |
| const Array | fixedParameters_ |
| Array | actualParameters_ |
| std::vector< bool > | fixParameters_ |
Detailed Description
Parameterized cost function.
This class creates a proxy cost function which can depend on any arbitrary subset of parameters (the other being fixed)
Definition at line 39 of file projectedcostfunction.hpp.
Constructor & Destructor Documentation
◆ ProjectedCostFunction() [1/2]
| ProjectedCostFunction | ( | const CostFunction & | costFunction, |
| const Array & | parameterValues, | ||
| const std::vector< bool > & | fixParameters | ||
| ) |
Definition at line 26 of file projectedcostfunction.cpp.
◆ ProjectedCostFunction() [2/2]
| ProjectedCostFunction | ( | const CostFunction & | costFunction, |
| const Projection & | projection | ||
| ) |
Definition at line 32 of file projectedcostfunction.cpp.
Member Function Documentation
◆ value()
method to overload to compute the cost function value in x
Reimplemented from CostFunction.
Definition at line 37 of file projectedcostfunction.cpp.
Here is the call graph for this function:
◆ values()
method to overload to compute the cost function values in x
Implements CostFunction.
Definition at line 42 of file projectedcostfunction.cpp.
Here is the call graph for this function:
Member Data Documentation
◆ costFunction_
|
private |
Definition at line 55 of file projectedcostfunction.hpp.