QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
FrobeniusCostFunction Class Reference

#include <tapcorrelations.hpp>

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Public Member Functions

 FrobeniusCostFunction (Matrix target, ext::function< Matrix(const Array &, Size, Size)> f, Size matrixSize, Size rank)
 
Real value (const Array &x) const override
 method to overload to compute the cost function value in x More...
 
Array values (const Array &x) const override
 method to overload to compute the cost function values in x More...
 
- 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...
 

Private Attributes

Matrix target_
 
ext::function< Matrix(const Array &, Size, Size)> f_
 
Size matrixSize_
 
Size rank_
 

Detailed Description

Definition at line 88 of file tapcorrelations.hpp.

Constructor & Destructor Documentation

◆ FrobeniusCostFunction()

FrobeniusCostFunction ( Matrix  target,
ext::function< Matrix(const Array &, Size, Size)>  f,
Size  matrixSize,
Size  rank 
)

Definition at line 90 of file tapcorrelations.hpp.

Member Function Documentation

◆ value()

Real value ( const Array x) const
overridevirtual

method to overload to compute the cost function value in x

Reimplemented from CostFunction.

Definition at line 126 of file tapcorrelations.cpp.

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◆ values()

Array values ( const Array x) const
overridevirtual

method to overload to compute the cost function values in x

Implements CostFunction.

Definition at line 131 of file tapcorrelations.cpp.

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Member Data Documentation

◆ target_

Matrix target_
private

Definition at line 99 of file tapcorrelations.hpp.

◆ f_

ext::function<Matrix(const Array&, Size, Size)> f_
private

Definition at line 100 of file tapcorrelations.hpp.

◆ matrixSize_

Size matrixSize_
private

Definition at line 101 of file tapcorrelations.hpp.

◆ rank_

Size rank_
private

Definition at line 102 of file tapcorrelations.hpp.