/usr/include/ql/math/optimization/lmdif.hpp is in libquantlib0-dev 1.1-2build1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Klaus Spanderen
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file lmdif.hpp
\brief wrapper for MINPACK minimization routine
*/
#ifndef quantlib_optimization_lmdif_hpp
#define quantlib_optimization_lmdif_hpp
#include <ql/qldefines.hpp>
#include <boost/function.hpp>
namespace QuantLib {
namespace MINPACK {
typedef boost::function<void (int,
int,
double*,
double*,
int*)> LmdifCostFunction;
void lmdif(int m,int n,double* x,double* fvec,double ftol,
double xtol,double gtol,int maxfev,double epsfcn,
double* diag, int mode, double factor,
int nprint, int* info,int* nfev,double* fjac,
int ldfjac,int* ipvt,double* qtf,
double* wa1,double* wa2,double* wa3,double* wa4,
const LmdifCostFunction& fcn);
void qrsolv(int n,double* r,int ldr,int* ipvt,
double* diag,double* qtb, double* x,
double* sdiag,double* wa);
void qrfac(int m,int n,double* a,int, int pivot,int* ipvt,
int,double* rdiag,double* acnorm,double* wa);
}
}
#endif
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