QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | Private Attributes | List of all members
ReannealingFiniteDifferences Class Reference

Reannealing Finite Difference. More...

#include <hybridsimulatedannealingfunctors.hpp>

+ Collaboration diagram for ReannealingFiniteDifferences:

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 &currentPoint, Real currentValue, const Array &currTemp)
 

Private Attributes

Problemproblem_
 
Real stepSize_
 
Real minSize_
 
Real functionTol_
 
Size N_
 
bool bound_ = false
 
Array lower_
 
Array upper_
 
Array initialTemp_
 
Array bounded_
 

Detailed Description

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.

Constructor & Destructor Documentation

◆ ReannealingFiniteDifferences()

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 
)

Definition at line 359 of file hybridsimulatedannealingfunctors.hpp.

+ Here is the call graph for this function:

Member Function Documentation

◆ setProblem()

void setProblem ( Problem P)

Definition at line 378 of file hybridsimulatedannealingfunctors.hpp.

◆ operator()()

void operator() ( Array steps,
const Array currentPoint,
Real  currentValue,
const Array currTemp 
)

Definition at line 379 of file hybridsimulatedannealingfunctors.hpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ problem_

Problem* problem_
private

Definition at line 408 of file hybridsimulatedannealingfunctors.hpp.

◆ stepSize_

Real stepSize_
private

Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.

◆ minSize_

Real minSize_
private

Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.

◆ functionTol_

Real functionTol_
private

Definition at line 409 of file hybridsimulatedannealingfunctors.hpp.

◆ N_

Size N_
private

Definition at line 410 of file hybridsimulatedannealingfunctors.hpp.

◆ bound_

bool bound_ = false
private

Definition at line 411 of file hybridsimulatedannealingfunctors.hpp.

◆ lower_

Array lower_
private

Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.

◆ upper_

Array upper_
private

Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.

◆ initialTemp_

Array initialTemp_
private

Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.

◆ bounded_

Array bounded_
private

Definition at line 412 of file hybridsimulatedannealingfunctors.hpp.