LevenbergMarquardt (3) Linux Manual Page
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.