Re: Least square without knowing the gradient

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Least-square-without-knowing-the-gradient-tp6118p6119.html

On Mon, 2008-04-14 at 07:01 -0700, Yomi wrote:
> Hi,
>
> Could I use a LeastSquareProblem if I don't know the gradient of my cost
> function?
> I have a calibration problem to solve, but I don't know what the derivatives
> of my problem are.

You might calculate them numerically, but I don't know how effective
this would be.

> If we can not use the LeastSquareProblem (an overloaded one in fact), which
> method is recommended?

You can use one of the other optimizers (LevenbergMarquardt, Simplex...)

Luigi


--

So little done, so much to do.
-- Cecil Rhodes



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