QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <tapcorrelations.hpp>
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_ |
Definition at line 88 of file tapcorrelations.hpp.
FrobeniusCostFunction | ( | Matrix | target, |
ext::function< Matrix(const Array &, Size, Size)> | f, | ||
Size | matrixSize, | ||
Size | rank | ||
) |
Definition at line 90 of file tapcorrelations.hpp.
method to overload to compute the cost function value in x
Reimplemented from CostFunction.
Definition at line 126 of file tapcorrelations.cpp.
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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private |
Definition at line 99 of file tapcorrelations.hpp.
Definition at line 100 of file tapcorrelations.hpp.
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private |
Definition at line 101 of file tapcorrelations.hpp.
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private |
Definition at line 102 of file tapcorrelations.hpp.