Constrained optimization problem. More...
#include <ql/math/optimization/problem.hpp>
Collaboration diagram for Problem:
Public Member Functions | |
| Problem (CostFunction &costFunction, Constraint &constraint, Array initialValue=Array()) | |
| default constructor More... | |
| void | reset () |
| Real | value (const Array &x) |
| call cost function computation and increment evaluation counter More... | |
| Array | values (const Array &x) |
| call cost values computation and increment evaluation counter More... | |
| void | gradient (Array &grad_f, const Array &x) |
| call cost function gradient computation and increment More... | |
| Real | valueAndGradient (Array &grad_f, const Array &x) |
| call cost function computation and it gradient More... | |
| Constraint & | constraint () const |
| Constraint. More... | |
| CostFunction & | costFunction () const |
| Cost function. More... | |
| void | setCurrentValue (const Array ¤tValue) |
| const Array & | currentValue () const |
| current value of the local minimum More... | |
| void | setFunctionValue (Real functionValue) |
| Real | functionValue () const |
| value of cost function More... | |
| void | setGradientNormValue (Real squaredNorm) |
| Real | gradientNormValue () const |
| value of cost function gradient norm More... | |
| Integer | functionEvaluation () const |
| number of evaluation of cost function More... | |
| Integer | gradientEvaluation () const |
| number of evaluation of cost function gradient More... | |
Protected Attributes | |
| CostFunction & | costFunction_ |
| Unconstrained cost function. More... | |
| Constraint & | constraint_ |
| Constraint. More... | |
| Array | currentValue_ |
| current value of the local minimum More... | |
| Real | functionValue_ |
| function and gradient norm values at the currentValue_ (i.e. the last step) More... | |
| Real | squaredNorm_ |
| Integer | functionEvaluation_ |
| number of evaluation of cost function and its gradient More... | |
| Integer | gradientEvaluation_ |
Detailed Description
Constrained optimization problem.
- Warning:
- The passed CostFunction and Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.
- Examples
- GlobalOptimizer.cpp.
Definition at line 42 of file problem.hpp.
Constructor & Destructor Documentation
◆ Problem()
| Problem | ( | CostFunction & | costFunction, |
| Constraint & | constraint, | ||
| Array | initialValue = Array() |
||
| ) |
default constructor
Definition at line 45 of file problem.hpp.
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Member Function Documentation
◆ reset()
| void reset | ( | ) |
- Warning:
- it does not reset the current minumum to any initial value
Definition at line 139 of file problem.hpp.
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◆ value()
call cost function computation and increment evaluation counter
- Examples
- GlobalOptimizer.cpp.
Definition at line 116 of file problem.hpp.
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◆ values()
call cost values computation and increment evaluation counter
Definition at line 121 of file problem.hpp.
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◆ gradient()
call cost function gradient computation and increment
Definition at line 126 of file problem.hpp.
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◆ valueAndGradient()
call cost function computation and it gradient
Definition at line 132 of file problem.hpp.
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◆ constraint()
| Constraint & constraint | ( | ) | const |
◆ costFunction()
| CostFunction & costFunction | ( | ) | const |
Cost function.
Definition at line 74 of file problem.hpp.
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◆ setCurrentValue()
| void setCurrentValue | ( | const Array & | currentValue | ) |
Definition at line 76 of file problem.hpp.
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◆ currentValue()
| const Array & currentValue | ( | ) | const |
current value of the local minimum
- Examples
- GlobalOptimizer.cpp.
Definition at line 81 of file problem.hpp.
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◆ setFunctionValue()
| void setFunctionValue | ( | Real | functionValue | ) |
Definition at line 83 of file problem.hpp.
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◆ functionValue()
| Real functionValue | ( | ) | const |
value of cost function
Definition at line 88 of file problem.hpp.
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◆ setGradientNormValue()
| void setGradientNormValue | ( | Real | squaredNorm | ) |
◆ gradientNormValue()
| Real gradientNormValue | ( | ) | const |
value of cost function gradient norm
Definition at line 94 of file problem.hpp.
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◆ functionEvaluation()
| Integer functionEvaluation | ( | ) | const |
number of evaluation of cost function
Definition at line 97 of file problem.hpp.
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◆ gradientEvaluation()
| Integer gradientEvaluation | ( | ) | const |
number of evaluation of cost function gradient
Definition at line 100 of file problem.hpp.
Member Data Documentation
◆ costFunction_
|
protected |
Unconstrained cost function.
Definition at line 104 of file problem.hpp.
◆ constraint_
|
protected |
Definition at line 106 of file problem.hpp.
◆ currentValue_
|
protected |
current value of the local minimum
Definition at line 108 of file problem.hpp.
◆ functionValue_
|
protected |
function and gradient norm values at the currentValue_ (i.e. the last step)
Definition at line 110 of file problem.hpp.
◆ squaredNorm_
|
protected |
Definition at line 110 of file problem.hpp.
◆ functionEvaluation_
|
protected |
number of evaluation of cost function and its gradient
Definition at line 112 of file problem.hpp.
◆ gradientEvaluation_
|
protected |
Definition at line 112 of file problem.hpp.