Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Least-square-without-knowing-the-gradient-tp6118p6121.html
On Fri, 2008-06-06 at 06:27 -0700, Yomi wrote:
> 1. I have create a new LeastSquare pb
>
> class ParametricLocalVolFitting: public LeastSquareProblem
>
> I am able to calculate the values I wish but I am not able to calculate the
> gradient (the solution is calculated on a PDE and since it ifor calibration,
> I don't wish to go numerically since it will increase my number of loops)
Yomi,
I would drop the LeastSquareProblem and go for a more generic one (such
as Problem in <ql/math/optimization/problem.hpp>.) You can use it with
LevenbergMarquardt or other optimizers. An example of its use is in the
CalibratedModel::calibrate() method (see <ql/models/model.cpp>.)
Luigi
--
Vin: It's like this fellow I knew in El Paso. One day, he just took
all his clothes off and jumped in a mess of cactus. I asked him that
same question, "Why?"
Calvera: And?
Vin: He said, "It seemed like a good idea at the time."
-- The Magnificent Seven
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