bfgs.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2009 Frédéric Degraeve
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file bfgs.hpp
    \brief Broyden-Fletcher-Goldfarb-Shanno optimization method
*/
 
#ifndef quantlib_optimization_bfgs_hpp
#define quantlib_optimization_bfgs_hpp
 
#include <ql/math/optimization/linesearchbasedmethod.hpp>
#include <ql/math/matrix.hpp>
 
namespace QuantLib {
 
    //! Broyden-Fletcher-Goldfarb-Shanno algorithm
    /*! See <http://en.wikipedia.org/wiki/BFGS_method>.
 
        Adapted from Numerical Recipes in C, 2nd edition.
 
        User has to provide line-search method and optimization end criteria.
    */
    class BFGS: public LineSearchBasedMethod {
      public:
        BFGS(const ext::shared_ptr<LineSearch>& lineSearch =
                                              ext::shared_ptr<LineSearch>())
        : LineSearchBasedMethod(lineSearch) {}
      private:
        //! \name LineSearchBasedMethod interface
        //@{
        Array getUpdatedDirection(const Problem& P, Real gold2, const Array& oldGradient) override;
        //@}
        //! inverse of hessian matrix
        Matrix inverseHessian_;
    };
 
}
 
#endif