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QuantLib_LeastSquareFunction

NAME

QuantLib::LeastSquareFunction -

Cost function for least-square problems.

SYNOPSIS

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

Inherits QuantLib::CostFunction.

Public Member Functions

LeastSquareFunction (LeastSquareProblem &lsp)
Default constructor.
virtual ~LeastSquareFunction ()
Destructor.
virtual Real value (const Array &x) const
compute value of the least square function
virtual Disposable< Array > values (const Array &) const
method to overload to compute the cost function values in x
virtual void gradient (Array &grad_f, const Array &x) const
compute vector of derivatives of the least square function
virtual Real valueAndGradient (Array &grad_f, const Array &x) const
compute value and gradient of the least square function

Protected Attributes

LeastSquareProblem & lsp_
least square problem

Detailed Description

Cost function for least-square problems.

Implements a cost function using the interface provided by the LeastSquareProblem class.

Author

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