org.jquantlib.math.optimization

Class CostFunction

java.lang.Object

org.jquantlib.math.optimization.CostFunction

Direct Known Subclasses:

LeastSquareFunction, ProjectedCostFunction

public abstract class CostFunction
extends java.lang.Object

Cost function abstract class for optimization problem.

Constructor Summary

Constructors

Constructor and Description
CostFunction()

Method Summary

Modifier and Type	Method and Description
double	finiteDifferenceEpsilon() Default epsilon for finite difference method
void	gradient(Array grad, Array x) Method to overload to compute gradient(f), the first derivative of the cost function with respect to
abstract double	value(Array x) Method to overload to compute the cost function value in
double	valueAndGradient(Array grad, Array x) Method to overload to compute gradient(f), the first derivative of the cost function with respect to and also the cost function
abstract Array	values(Array x) Method to overload to compute the cost function values in

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CostFunction

public CostFunction()

Method Detail

gradient

public void gradient(Array grad,
                     Array x)

Method to overload to compute gradient(f), the first derivative of the cost function with respect to

valueAndGradient

public double valueAndGradient(Array grad,
                               Array x)

Method to overload to compute gradient(f), the first derivative of the cost function with respect to and also the cost function

finiteDifferenceEpsilon

public double finiteDifferenceEpsilon()

Default epsilon for finite difference method

value

public abstract double value(Array x)

Method to overload to compute the cost function value in

values

public abstract Array values(Array x)

Method to overload to compute the cost function values in