QuantLib - Problem with method residualNorm() in the class NonLinearLeastSquare

Problem with method residualNorm() in the class NonLinearLeastSquare

Posted by Silakhdar Krikeb on
URL: http://quantlib.414.s1.nabble.com/Problem-with-method-residualNorm-in-the-class-NonLinearLeastSquare-tp12076.html

Hi!

Lately I did some optimization work and wrote code using class NonLinearLeastSquare. I discovered that the method residualNorm() does not return the proper expected result with the optimization method LevenbergMarquardt. After some investigation, I think I solved the problem by adding the following line:

P.setFunctionValue(P.costFunction().value(x_));

to the metod LevenbergMarquardt::minimize(Problem&,const EndCriteria&) (levenbergmarquardt.cpp, Ln 95 just after P.setCurrentValue(x_))

I also checked the simplex optimization method and I think it does not suffer of this problem.

Is there anybody in this forum who can investigate the solution and do the corrections if necessary.

My best regards

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