fcn (3) - Linux Manuals

fcn: Levenberg-Marquardt optimization method.

NAME

QuantLib::LevenbergMarquardt - Levenberg-Marquardt optimization method.

SYNOPSIS

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

Inherits QuantLib::OptimizationMethod.

Public Member Functions

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

virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
minimize the optimization problem P
virtual Integer getInfo () const

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

Detailed Description

Levenberg-Marquardt optimization method.

This implementation is based on MINPACK (<http://www.netlib.org/minpack>, <http://www.netlib.org/cephes/linalg.tgz>)

Examples:

BermudanSwaption.cpp.

Author

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