QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
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LevenbergMarquardt Class Reference

Levenberg-Marquardt optimization method. More...

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

+ Inheritance diagram for LevenbergMarquardt:

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.