ProjectedCostFunction Class Reference

Parameterized cost function. More...

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

Inheritance diagram for ProjectedCostFunction:

Public Member Functions
	ProjectedCostFunction (const CostFunction &costFunction, const Array &parameterValues, const std::vector< bool > &fixParameters)
	ProjectedCostFunction (const CostFunction &costFunction, const Projection &projection)
Public Member Functions inherited from CostFunction
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 :

CostFunction interface
virtual Real	value (const Array &freeParameters) const
	method to overload to compute the cost function value in x
virtual Disposable< Array >	values (const Array &freeParameters) const
	method to overload to compute the cost function values in x

Detailed Description

Parameterized cost function.

This class creates a proxy cost function which can depend on any arbitrary subset of parameters (the other being fixed)