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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_levenberg_marquardt.html">LevenbergMarquardt</a></li> </ul>
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<div class="title">LevenbergMarquardt Class Reference<div class="ingroups"><a class="el" href="group__math.html">Math tools</a> » <a class="el" href="group__optimizers.html">Optimizers</a></div></div> </div>
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<p>Levenberg-Marquardt optimization method.
<a href="class_quant_lib_1_1_levenberg_marquardt.html#details">More...</a></p>
<p><code>#include <ql/math/optimization/levenbergmarquardt.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LevenbergMarquardt:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LevenbergMarquardt</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> epsfcn=1.0e-8, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> xtol=1.0e-8, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> gtol=1.0e-8, bool useCostFunctionsJacobian=false)</td></tr>
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virtual EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_levenberg_marquardt.html#a3b8d7f680b62c4b7cf2aa17eb818688a">minimize</a> (<a class="el" href="class_quant_lib_1_1_problem.html">Problem</a> &P, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria)</td></tr>
<tr class="memdesc:a3b8d7f680b62c4b7cf2aa17eb818688a"><td class="mdescLeft"> </td><td class="mdescRight">minimize the optimization problem P <br /></td></tr>
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virtual <a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>getInfo</b> () const</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>fcn</b> (int m, int n, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> *x, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> *fvec, int *iflag)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>jacFcn</b> (int m, int n, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> *x, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> *fjac, int *iflag)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Levenberg-Marquardt optimization method. </p>
<p>This implementation is based on MINPACK (<a href="http://www.netlib.org/minpack">http://www.netlib.org/minpack</a>, <a href="http://www.netlib.org/cephes/linalg.tgz">http://www.netlib.org/cephes/linalg.tgz</a>) It has a built in fd scheme to compute the jacobian, which is used by default. If useCostFunctionsJacobian is true the corresponding method in the cost function of the problem is used instead. Note that the default implementation of the jacobian in <a class="el" href="class_quant_lib_1_1_cost_function.html" title="Cost function abstract class for optimization problem.">CostFunction</a> uses a central difference (oder 2, but requiring more function evaluations) compared to the forward difference implemented here (order 1). </p>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_bermudan_swaption_8cpp-example.html#_a2">BermudanSwaption.cpp</a>, and <a class="el" href="_gaussian1d_models_8cpp-example.html#_a17">Gaussian1dModels.cpp</a>.</dd>
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