CostFunction Class Reference

Cost function abstract class for optimization problem. More...

#include <ql/math/optimization/costfunction.hpp>

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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...

Detailed Description

Cost function abstract class for optimization problem.

Examples

GlobalOptimizer.cpp.

Definition at line 34 of file costfunction.hpp.

Constructor & Destructor Documentation

~CostFunction()

virtual ~CostFunction ( )

virtualdefault

Member Function Documentation

value()

virtual Real value ( const Array &  x ) const

virtual

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.

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values()

virtual Array values ( const Array &  x ) const

pure virtual

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.

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gradient()

virtual void gradient ( Array &  grad, const Array &  x  ) const

virtual

method to overload to compute grad_f, the first derivative of

Reimplemented in LeastSquareFunction.

Definition at line 49 of file costfunction.hpp.

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valueAndGradient()

virtual Real valueAndGradient ( Array &  grad, const Array &  x  ) const

virtual

method to overload to compute grad_f, the first derivative of

Reimplemented in LeastSquareFunction.

Definition at line 64 of file costfunction.hpp.

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jacobian()

virtual void jacobian ( Matrix &  jac, const Array &  x  ) const

virtual

method to overload to compute J_f, the jacobian of

Definition at line 72 of file costfunction.hpp.

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valuesAndJacobian()

virtual Array valuesAndJacobian ( Matrix &  jac, const Array &  x  ) const

virtual

method to overload to compute J_f, the jacobian of

Definition at line 89 of file costfunction.hpp.

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finiteDifferenceEpsilon()

virtual Real finiteDifferenceEpsilon ( ) const

virtual

Default epsilon for finite difference method :

Definition at line 96 of file costfunction.hpp.

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