Module net.finmath.lib

Package net.finmath.optimizer

Class StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD

java.lang.Object

net.finmath.optimizer.StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD

All Implemented Interfaces:

StochasticOptimizerFactory

public class StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD
extends Object
implements StochasticOptimizerFactory

Version:

1.0

Author:

Christian Fries

Constructor Summary

Constructors

Constructor	Description
StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int maxIterations, int maxThreads)
StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int maxIterations, RandomVariable errorTolerance, int maxThreads)

Method Summary

Modifier and Type	Method	Description
StochasticOptimizer	getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction, RandomVariable[] initialParameters, RandomVariable[] targetValues)
StochasticOptimizer	getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction, RandomVariable[] initialParameters, RandomVariable[] lowerBound, RandomVariable[] upperBound, RandomVariable[] targetValues)
StochasticOptimizer	getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction, RandomVariable[] initialParameters, RandomVariable[] lowerBound, RandomVariable[] upperBound, RandomVariable[] parameterSteps, RandomVariable[] targetValues)

Methods inherited from class java.lang.Object

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

Constructor Detail

StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD

public StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int maxIterations,
                                                              RandomVariable errorTolerance,
                                                              int maxThreads)

StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD

public StochasticOptimizerFactoryPathwiseLevenbergMarquardtAD(int maxIterations,
                                                              int maxThreads)

Method Detail

getOptimizer

public StochasticOptimizer getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction,
                                        RandomVariable[] initialParameters,
                                        RandomVariable[] targetValues)

Specified by:

getOptimizer in interface StochasticOptimizerFactory

getOptimizer

public StochasticOptimizer getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction,
                                        RandomVariable[] initialParameters,
                                        RandomVariable[] lowerBound,
                                        RandomVariable[] upperBound,
                                        RandomVariable[] targetValues)

Specified by:

getOptimizer in interface StochasticOptimizerFactory

getOptimizer

public StochasticOptimizer getOptimizer(StochasticOptimizer.ObjectiveFunction objectiveFunction,
                                        RandomVariable[] initialParameters,
                                        RandomVariable[] lowerBound,
                                        RandomVariable[] upperBound,
                                        RandomVariable[] parameterSteps,
                                        RandomVariable[] targetValues)

Specified by:

getOptimizer in interface StochasticOptimizerFactory