QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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conjugategradient.cpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3 /*
4 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
5 Copyright (C) 2007 Ferdinando Ametrano
6 Copyright (C) 2007 Marco Bianchetti
7 Copyright (C) 2007 François du Vignaud
8 Copyright (C) 2009 Frédéric Degraeve
9
10 This file is part of QuantLib, a free-software/open-source library
11 for financial quantitative analysts and developers - http://quantlib.org/
12
13 QuantLib is free software: you can redistribute it and/or modify it
14 under the terms of the QuantLib license. You should have received a
15 copy of the license along with this program; if not, please email
16 <quantlib-dev@lists.sf.net>. The license is also available online at
17 <http://quantlib.org/license.shtml>.
18
19 This program is distributed in the hope that it will be useful, but WITHOUT
20 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21 FOR A PARTICULAR PURPOSE. See the license for more details.
22*/
23
27
28namespace QuantLib {
29
31 Real gold2,
32 const Array&) {
33 return -lineSearch_->lastGradient() +
34 (P.gradientNormValue() / gold2) * lineSearch_->searchDirection();
35 }
36
37}
1-D array used in linear algebra.
Definition: array.hpp:52
Array getUpdatedDirection(const Problem &P, Real gold2, const Array &oldGradient) override
computes the new search direction
ext::shared_ptr< LineSearch > lineSearch_
line search
Constrained optimization problem.
Definition: problem.hpp:42
Real gradientNormValue() const
value of cost function gradient norm
Definition: problem.hpp:94
Conjugate gradient optimization method.
QL_REAL Real
real number
Definition: types.hpp:50
Line search abstract class.
Definition: any.hpp:35
Abstract optimization problem class.