QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Cost function abstract class for optimization problem. More...
#include <costfunction.hpp>
Public Member Functions | |
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... | |
Cost function abstract class for optimization problem.
Definition at line 34 of file costfunction.hpp.
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virtualdefault |
method to overload to compute the cost function value in x
Reimplemented in ProjectedCostFunction, BasketGeneratingEngine::MatchHelper, XABRInterpolationImpl< I1, I2, Model >::XABRError, FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and AbcdCalibration::AbcdError.
Definition at line 38 of file costfunction.hpp.
method to overload to compute the cost function values in x
Implemented in LeastSquareFunction, ProjectedCostFunction, BasketGeneratingEngine::MatchHelper, XABRInterpolationImpl< I1, I2, Model >::XABRError, FrobeniusCostFunction, PenaltyFunction< Curve >, and AbcdCalibration::AbcdError.
method to overload to compute grad_f, the first derivative of
Reimplemented in LeastSquareFunction.
Definition at line 49 of file costfunction.hpp.
method to overload to compute grad_f, the first derivative of
Reimplemented in LeastSquareFunction.
Definition at line 64 of file costfunction.hpp.
method to overload to compute J_f, the jacobian of
Definition at line 72 of file costfunction.hpp.
method to overload to compute J_f, the jacobian of
Definition at line 89 of file costfunction.hpp.
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virtual |
Default epsilon for finite difference method :
Definition at line 96 of file costfunction.hpp.