Module net.finmath.lib

Package net.finmath.optimizer

Interface StochasticOptimizer

All Known Implementing Classes:

StochasticLevenbergMarquardt, StochasticLevenbergMarquardtAD, StochasticPathwiseLevenbergMarquardt, StochasticPathwiseLevenbergMarquardtAD

public interface StochasticOptimizer

Version:

1.0

Author:

Christian Fries

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static interface	StochasticOptimizer.ObjectiveFunction	The interface describing the objective function of a StochasticOptimizer.

Method Summary

Modifier and Type	Method	Description
RandomVariable[]	getBestFitParameters()	Get the best fit parameter vector.
int	getIterations()	Get the number of iterations.
double	getRootMeanSquaredError()
void	run()	Runs the optimization.

Method Details

getBestFitParameters

RandomVariable[] getBestFitParameters()

Get the best fit parameter vector.

Returns:

The best fit parameter.

getRootMeanSquaredError

double getRootMeanSquaredError()

Returns:

the the root mean square error achieved with the the best fit parameter

getIterations

int getIterations()

Get the number of iterations.

Returns:

The number of iterations required

run

void run()
  throws SolverException

Runs the optimization.

Throws:

SolverException - Thrown if the valuation fails, specific cause may be available via the cause() method.