[Quantlib-dev] Problem with method residualNorm() in the class NonLinearLeastSquare

[Silakhdar K. <sil...@gm...>]

Hi!

Lately I did some optimization work and wrote code using class
NonLinearLeastSquare. I
discovered that the method residualNorm()  does not return
the proper expected result with the optimization method LevenbergMarquardt.
After some investigation, I think I solved the problem by adding the
following line:

P.setFunctionValue(P.costFunction().value(x_));

to the metod LevenbergMarquardt::minimize(Problem&,const
EndCriteria&) (levenbergmarquardt.cpp, Ln 95 just after
P.setCurrentValue(x_))

I also checked the simplex optimization method and I think it does not
suffer of this problem.

Is there anybody in this forum who can investigate the solution and do the
corrections if necessary.

My best regards
SK