/usr/include/ql/math/optimization/levenbergmarquardt.hpp is in libquantlib0-dev 1.4-2.
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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 55 56 57 58 59 60 61 | /* -*- 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 levenbergmarquardt.hpp
\brief Levenberg-Marquardt optimization method
*/
#ifndef quantlib_optimization_levenberg_marquardt_hpp
#define quantlib_optimization_levenberg_marquardt_hpp
#include <ql/math/optimization/problem.hpp>
namespace QuantLib {
//! Levenberg-Marquardt optimization method
/*! This implementation is based on MINPACK
(<http://www.netlib.org/minpack>,
<http://www.netlib.org/cephes/linalg.tgz>)
*/
class LevenbergMarquardt : public OptimizationMethod {
public:
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 //= EndCriteria()
);
// = EndCriteria(400, 1.0e-8, 1.0e-8)
virtual Integer getInfo() const;
void fcn(int m,
int n,
double* x,
double* fvec,
int* iflag);
private:
Problem* currentProblem_;
Array initCostValues_;
mutable Integer info_;
const Real epsfcn_, xtol_, gtol_;
};
}
#endif
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