QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
conjugategradient.hpp
Go to the documentation of this file.
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Ferdinando Ametrano
5 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
6 Copyright (C) 2009 Frédéric Degraeve
7
8 This file is part of QuantLib, a free-software/open-source library
9 for financial quantitative analysts and developers - http://quantlib.org/
10
11 QuantLib is free software: you can redistribute it and/or modify it
12 under the terms of the QuantLib license. You should have received a
13 copy of the license along with this program; if not, please email
14 <quantlib-dev@lists.sf.net>. The license is also available online at
15 <http://quantlib.org/license.shtml>.
16
17 This program is distributed in the hope that it will be useful, but WITHOUT
18 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19 FOR A PARTICULAR PURPOSE. See the license for more details.
20*/
21
22/*! \file conjugategradient.hpp
23 \brief Conjugate gradient optimization method
24*/
25
26#ifndef quantlib_optimization_conjugate_gradient_h
27#define quantlib_optimization_conjugate_gradient_h
28
30
31namespace QuantLib {
32
33 //! Multi-dimensional Conjugate Gradient class.
34 /*! Fletcher-Reeves-Polak-Ribiere algorithm
35 adapted from Numerical Recipes in C, 2nd edition.
36
37 User has to provide line-search method and optimization end criteria.
38 Search direction \f$ d_i = - f'(x_i) + c_i*d_{i-1} \f$
39 where \f$ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \f$
40 and \f$ d_1 = - f'(x_1) \f$
41
42 This optimization method requires the knowledge of
43 the gradient of the cost function.
44
45 \ingroup optimizers
46 */
48 public:
49 ConjugateGradient(const ext::shared_ptr<LineSearch>& lineSearch =
50 ext::shared_ptr<LineSearch>())
51 : LineSearchBasedMethod(lineSearch) {}
52 private:
53 //! \name LineSearchBasedMethod interface
54 //@{
55 Array getUpdatedDirection(const Problem& P, Real gold2, const Array& oldGradient) override;
56 //@}
57 };
58
59}
60
61#endif
1-D array used in linear algebra.
Definition: array.hpp:52
Multi-dimensional Conjugate Gradient class.
ConjugateGradient(const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >())
Array getUpdatedDirection(const Problem &P, Real gold2, const Array &oldGradient) override
computes the new search direction
Constrained optimization problem.
Definition: problem.hpp:42
QL_REAL Real
real number
Definition: types.hpp:50
Abstract optimization method class.
Definition: any.hpp:35