LevenbergMarquardt Class Reference

Levenberg-Marquardt optimization method. More...

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

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Public Member Functions
	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) override
	minimize the optimization problem P More...
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)
Public Member Functions inherited from OptimizationMethod
virtual	~OptimizationMethod ()=default
virtual EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria)=0
	minimize the optimization problem P More...

Private Attributes
Problem *	currentProblem_
Array	initCostValues_
Matrix	initJacobian_
Integer	info_ = 0
const Real	epsfcn_
const Real	xtol_
const Real	gtol_
bool	useCostFunctionsJacobian_

Detailed Description

Levenberg-Marquardt optimization method.

This implementation is based on MINPACK (http://www.netlib.org/minpack, http://www.netlib.org/cephes/linalg.tgz) It has a built in fd scheme to compute the jacobian, which is used by default. If useCostFunctionsJacobian is true the corresponding method in the cost function of the problem is used instead. Note that the default implementation of the jacobian in CostFunction uses a central difference (oder 2, but requiring more function evaluations) compared to the forward difference implemented here (order 1).

Examples

BermudanSwaption.cpp, and Gaussian1dModels.cpp.

Definition at line 49 of file levenbergmarquardt.hpp.

Constructor & Destructor Documentation

LevenbergMarquardt()

LevenbergMarquardt	(	Real	epsfcn = 1.0e-8,
		Real	xtol = 1.0e-8,
		Real	gtol = 1.0e-8,
		bool	useCostFunctionsJacobian = false
	)

Definition at line 29 of file levenbergmarquardt.cpp.

Member Function Documentation

minimize()

EndCriteria::Type minimize ( Problem &  P, const EndCriteria &  endCriteria  )

overridevirtual

minimize the optimization problem P

Implements OptimizationMethod.

Definition at line 40 of file levenbergmarquardt.cpp.

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getInfo()

Integer getInfo ( ) const

virtual

Definition at line 36 of file levenbergmarquardt.cpp.

fcn()

void fcn	(	int	m,
		int	n,
		Real *	x,
		Real *	fvec,
		int *	iflag
	)

Definition at line 130 of file levenbergmarquardt.cpp.

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jacFcn()

void jacFcn	(	int	m,
		int	n,
		Real *	x,
		Real *	fjac,
		int *	iflag
	)

Definition at line 143 of file levenbergmarquardt.cpp.

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Member Data Documentation

currentProblem_

Problem* currentProblem_

private

Definition at line 72 of file levenbergmarquardt.hpp.

initCostValues_

Array initCostValues_

private

Definition at line 73 of file levenbergmarquardt.hpp.

initJacobian_

Matrix initJacobian_

private

Definition at line 74 of file levenbergmarquardt.hpp.

info_

Integer info_ = 0

mutableprivate

Definition at line 75 of file levenbergmarquardt.hpp.

epsfcn_

const Real epsfcn_

private

Definition at line 76 of file levenbergmarquardt.hpp.

xtol_

const Real xtol_

private

Definition at line 76 of file levenbergmarquardt.hpp.

gtol_

const Real gtol_

private

Definition at line 76 of file levenbergmarquardt.hpp.

useCostFunctionsJacobian_

bool useCostFunctionsJacobian_

private

Definition at line 77 of file levenbergmarquardt.hpp.