QuantLib_CostFunction man page

CostFunction — Cost function abstract class for optimization problem.

Synopsis

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

Inherited by FrobeniusCostFunction, LeastSquareFunction, PenaltyFunction< Curve >, and ProjectedCostFunction.

Public Member Functions

virtual Real value (const Array &x) const =0
method to overload to compute the cost function value in x
virtual Disposable< Array > values (const Array &x) const =0
method to overload to compute the cost function values in x
virtual void gradient (Array &grad, const Array &x) const
method to overload to compute grad_f, the first derivative of
virtual Real valueAndGradient (Array &grad, const Array &x) const
method to overload to compute grad_f, the first derivative of
virtual void jacobian (Matrix &jac, const Array &x) const
method to overload to compute J_f, the jacobian of
virtual Disposable< Array > valuesAndJacobian (Matrix &jac, const Array &x) const
method to overload to compute J_f, the jacobian of
virtual Real finiteDifferenceEpsilon () const
Default epsilon for finite difference method :

Detailed Description

Cost function abstract class for optimization problem.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

finiteDifferenceEpsilon(3), gradient(3), jacobian(3), valueAndGradient(3), values(3) and valuesAndJacobian(3) are aliases of QuantLib_CostFunction(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib