QuantLib: a free/open-source library for quantitative finance
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linesearchbasedmethod.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Ferdinando Ametrano
5 Copyright (C) 2009 Frédéric Degraeve
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
21/*! \file linesearchbasedmethod.hpp
22 \brief Abstract optimization method class
23*/
24
25#ifndef quantlib_line_search_based_optimization_method_h
26#define quantlib_line_search_based_optimization_method_h
27
29#include <ql/math/array.hpp>
30#include <ql/shared_ptr.hpp>
31
32namespace QuantLib {
33
34 class LineSearch;
35
36 //! Line search based method
38 public:
39 explicit LineSearchBasedMethod(
40 ext::shared_ptr<LineSearch> lSearch = ext::shared_ptr<LineSearch>());
41 ~LineSearchBasedMethod() override = default;
42
43 EndCriteria::Type minimize(Problem& P, const EndCriteria& endCriteria) override;
44
45 protected:
46 //! computes the new search direction
48 Real gold2,
49 const Array& gradient) = 0;
50 //! line search
51 ext::shared_ptr<LineSearch> lineSearch_;
52 };
53
54}
55
56#endif
1-D array used in linear algebra.
1-D array used in linear algebra.
Definition: array.hpp:52
Criteria to end optimization process:
Definition: endcriteria.hpp:40
virtual Array getUpdatedDirection(const Problem &P, Real gold2, const Array &gradient)=0
computes the new search direction
~LineSearchBasedMethod() override=default
ext::shared_ptr< LineSearch > lineSearch_
line search
EndCriteria::Type minimize(Problem &P, const EndCriteria &endCriteria) override
minimize the optimization problem P
Abstract class for constrained optimization method.
Definition: method.hpp:36
Constrained optimization problem.
Definition: problem.hpp:42
QL_REAL Real
real number
Definition: types.hpp:50
Abstract optimization method class.
Definition: any.hpp:35
Maps shared_ptr to either the boost or std implementation.