QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LineSearchBasedMethod Class Referenceabstract

Line search based method. More...

#include <linesearchbasedmethod.hpp>

+ Inheritance diagram for LineSearchBasedMethod:
+ Collaboration diagram for LineSearchBasedMethod:

Public Member Functions

 LineSearchBasedMethod (ext::shared_ptr< LineSearch > lSearch=ext::shared_ptr< LineSearch >())
 
 ~LineSearchBasedMethod () override=default
 
EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) override
 minimize the optimization problem P More...
 
- Public Member Functions inherited from OptimizationMethod
virtual ~OptimizationMethod ()=default
 
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)=0
 minimize the optimization problem P More...
 

Protected Member Functions

virtual Array getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0
 computes the new search direction More...
 

Protected Attributes

ext::shared_ptr< LineSearchlineSearch_
 line search More...
 

Detailed Description

Line search based method.

Definition at line 37 of file linesearchbasedmethod.hpp.

Constructor & Destructor Documentation

◆ LineSearchBasedMethod()

LineSearchBasedMethod ( ext::shared_ptr< LineSearch lSearch = ext::shared_ptr<LineSearch>())
explicit

Definition at line 29 of file linesearchbasedmethod.cpp.

◆ ~LineSearchBasedMethod()

~LineSearchBasedMethod ( )
overridedefault

Member Function Documentation

◆ minimize()

EndCriteria::Type minimize ( Problem P,
const EndCriteria endCriteria 
)
overridevirtual

minimize the optimization problem P

Implements OptimizationMethod.

Definition at line 36 of file linesearchbasedmethod.cpp.

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◆ getUpdatedDirection()

virtual Array getUpdatedDirection ( const Problem P,
Real  gold2,
const Array gradient 
)
protectedpure virtual

computes the new search direction

Implemented in BFGS, ConjugateGradient, and SteepestDescent.

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Member Data Documentation

◆ lineSearch_

ext::shared_ptr<LineSearch> lineSearch_
protected

line search

Definition at line 51 of file linesearchbasedmethod.hpp.