levenbergmarquardt.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Klaus Spanderen
 Copyright (C) 2015 Peter Caspers
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_optimization_levenberg_marquardt_hpp
#define quantlib_optimization_levenberg_marquardt_hpp
 
#include <ql/math/optimization/problem.hpp>
 
namespace QuantLib {
 
 
    class LevenbergMarquardt : public OptimizationMethod {
      public:
        LevenbergMarquardt(Real epsfcn = 1.0e-8,
                           Real xtol = 1.0e-8,
                           Real gtol = 1.0e-8,
                           bool useCostFunctionsJacobian = false);
        EndCriteria::Type minimize(Problem& P,
                                   const EndCriteria& endCriteria //= EndCriteria()
                                   ) override;
        //      = EndCriteria(400, 1.0e-8, 1.0e-8)
        virtual Integer getInfo() const;
        void fcn(int m,
                 int n,
                 Real* x,
                 Real* fvec,
                 int* iflag);
        void jacFcn(int m,
                 int n,
                 Real* x,
                 Real* fjac,
                 int* iflag);
 
      private:
        Problem* currentProblem_;
        Array initCostValues_;
        Matrix initJacobian_;
        mutable Integer info_ = 0;
        const Real epsfcn_, xtol_, gtol_;
        bool useCostFunctionsJacobian_;
    };
 
}
 
 
#endif