QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Reannealing Finite Difference. More...
#include <hybridsimulatedannealingfunctors.hpp>
Public Member Functions | |
ReannealingFiniteDifferences (Real initialTemp, Size dimension, const Array &lower=Array(), const Array &upper=Array(), Real stepSize=1e-7, Real minSize=1e-10, Real functionTol=1e-10) | |
void | setProblem (Problem &P) |
void | operator() (Array &steps, const Array ¤tPoint, Real currentValue, const Array &currTemp) |
Private Attributes | |
Problem * | problem_ |
Real | stepSize_ |
Real | minSize_ |
Real | functionTol_ |
Size | N_ |
bool | bound_ = false |
Array | lower_ |
Array | upper_ |
Array | initialTemp_ |
Array | bounded_ |
Reannealing Finite Difference.
In multidimensional problems, different dimensions might have different sensitivities, and might have dimensions on which the solution is rather insensitive. If possible, the search should concentrate more on the more sensitive dimensions, therefore a reannealing schedule might raise the temperature seen by those more fruitful dimensions so as to allow for more movement along the dimensions of interest
Definition at line 357 of file hybridsimulatedannealingfunctors.hpp.
ReannealingFiniteDifferences | ( | Real | initialTemp, |
Size | dimension, | ||
const Array & | lower = Array() , |
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const Array & | upper = Array() , |
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Real | stepSize = 1e-7 , |
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Real | minSize = 1e-10 , |
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Real | functionTol = 1e-10 |
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) |
Definition at line 359 of file hybridsimulatedannealingfunctors.hpp.
void setProblem | ( | Problem & | P | ) |
Definition at line 378 of file hybridsimulatedannealingfunctors.hpp.
void operator() | ( | Array & | steps, |
const Array & | currentPoint, | ||
Real | currentValue, | ||
const Array & | currTemp | ||
) |
Definition at line 379 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 408 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 410 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 411 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.
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Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.