QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Line search based method. More...
#include <linesearchbasedmethod.hpp>
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< LineSearch > | lineSearch_ |
line search More... | |
Line search based method.
Definition at line 37 of file linesearchbasedmethod.hpp.
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explicit |
Definition at line 29 of file linesearchbasedmethod.cpp.
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overridedefault |
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overridevirtual |
minimize the optimization problem P
Implements OptimizationMethod.
Definition at line 36 of file linesearchbasedmethod.cpp.
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protectedpure virtual |
computes the new search direction
Implemented in BFGS, ConjugateGradient, and SteepestDescent.
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protected |
line search
Definition at line 51 of file linesearchbasedmethod.hpp.