| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2006 Klaus Spanderen |
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| 5 | Copyright (C) 2015 Peter Caspers |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file lmdif.hpp |
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| 22 | \brief wrapper for MINPACK minimization routine |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_optimization_lmdif_hpp |
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| 26 | #define quantlib_optimization_lmdif_hpp |
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| 27 | |
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| 28 | #include <ql/types.hpp> |
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| 29 | #include <ql/functional.hpp> |
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| 30 | |
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| 31 | namespace QuantLib { |
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| 32 | |
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| 33 | namespace MINPACK { |
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| 34 | typedef ext::function<void (int, |
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| 35 | int, |
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| 36 | Real*, |
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| 37 | Real*, |
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| 38 | int*)> LmdifCostFunction; |
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| 39 | |
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| 40 | void lmdif(int m,int n,Real* x,Real* fvec,Real ftol, |
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| 41 | Real xtol,Real gtol,int maxfev,Real epsfcn, |
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| 42 | Real* diag, int mode, Real factor, |
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| 43 | int nprint, int* info,int* nfev,Real* fjac, |
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| 44 | int ldfjac,int* ipvt,Real* qtf, |
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| 45 | Real* wa1,Real* wa2,Real* wa3,Real* wa4, |
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| 46 | const LmdifCostFunction& fcn, |
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| 47 | const LmdifCostFunction& jacFcn); |
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| 48 | |
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| 49 | void qrsolv(int n, |
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| 50 | Real* r, |
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| 51 | int ldr, |
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| 52 | const int* ipvt, |
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| 53 | const Real* diag, |
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| 54 | const Real* qtb, |
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| 55 | Real* x, |
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| 56 | Real* sdiag, |
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| 57 | Real* wa); |
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| 58 | void qrfac(int m,int n,Real* a,int, int pivot,int* ipvt, |
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| 59 | int,Real* rdiag,Real* acnorm,Real* wa); |
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| 60 | } |
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| 61 | } |
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| 62 | #endif |
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| 63 | |
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