QuantLib: NonLinearLeastSquare Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | List of all members
NonLinearLeastSquare Class Reference

Non-linear least-square method. More...

`#include <ql/math/optimization/leastsquare.hpp>`

## Public Member Functions
| NonLinearLeastSquare (Constraint &c, Real accuracy=1e-4, Size maxiter=100)
| Default constructor.
| NonLinearLeastSquare (Constraint &c, Real accuracy, Size maxiter, boost::shared_ptr< OptimizationMethod > om)
| Default constructor.
| ~NonLinearLeastSquare ()
| Destructor.
Array & | perform (LeastSquareProblem &lsProblem)
| Solve least square problem using numerix solver.
void | setInitialValue (const Array &initialValue)
Array & | results ()
| return the results
Real | residualNorm ()
| return the least square residual norm
Real | lastValue ()
| return last function value
Integer | exitFlag ()
| return exit flag
Integer | iterationsNumber ()
| return the performed number of iterations

## Detailed Description

Non-linear least-square method.

Using a given optimization algorithm (default is conjugate gradient),

\[ min \{ r(x) : x in R^n \} \]

where \( r(x) = |f(x)|^2 \) is the Euclidean norm of \( f(x) \) for some vector-valued function \( f \) from \( R^n \) to \( R^m \),

\[ f = (f_1, ..., f_m) \]

with \( f_i(x) = b_i - \phi(x,t_i) \) where \( b \) is the vector of target data and \( phi \) is a scalar function.

Assuming the differentiability of \( f \), the gradient of \( r \) is defined by

\[ grad r(x) = f'(x)^t.f(x) \]