EndCriteria Class Reference

Criteria to end optimization process: More...

#include <ql/math/optimization/endcriteria.hpp>

Collaboration diagram for EndCriteria:

Public Types
enum	Type {   None , MaxIterations , StationaryPoint , StationaryFunctionValue ,   StationaryFunctionAccuracy , ZeroGradientNorm , Unknown }

Public Member Functions
	EndCriteria (Size maxIterations, Size maxStationaryStateIterations, Real rootEpsilon, Real functionEpsilon, Real gradientNormEpsilon)
	Initialization constructor. More...
Size	maxIterations () const
Size	maxStationaryStateIterations () const
Real	rootEpsilon () const
Real	functionEpsilon () const
Real	gradientNormEpsilon () const
bool	operator() (Size iteration, Size &statState, bool positiveOptimization, Real fold, Real normgold, Real fnew, Real normgnew, EndCriteria::Type &ecType) const
bool	checkMaxIterations (Size iteration, EndCriteria::Type &ecType) const
bool	checkStationaryPoint (Real xOld, Real xNew, Size &statStateIterations, EndCriteria::Type &ecType) const
bool	checkStationaryFunctionValue (Real fxOld, Real fxNew, Size &statStateIterations, EndCriteria::Type &ecType) const
bool	checkStationaryFunctionAccuracy (Real f, bool positiveOptimization, EndCriteria::Type &ecType) const
bool	checkZeroGradientNorm (Real gNorm, EndCriteria::Type &ecType) const

Protected Attributes
Size	maxIterations_
	Maximum number of iterations. More...
Size	maxStationaryStateIterations_
	Maximun number of iterations in stationary state. More...
Real	rootEpsilon_
	root, function and gradient epsilons More...
Real	functionEpsilon_
Real	gradientNormEpsilon_

Detailed Description

Criteria to end optimization process:

• maximum number of iterations AND minimum number of iterations around stationary point
• x (independent variable) stationary point
• y=f(x) (dependent variable) stationary point
• stationary gradient

Examples

BermudanSwaption.cpp, Gaussian1dModels.cpp, and GlobalOptimizer.cpp.

Definition at line 40 of file endcriteria.hpp.

Member Enumeration Documentation

Type

enum Type

Enumerator
None
MaxIterations
StationaryPoint
StationaryFunctionValue
StationaryFunctionAccuracy
ZeroGradientNorm
Unknown

Definition at line 42 of file endcriteria.hpp.

Constructor & Destructor Documentation

EndCriteria()

EndCriteria	(	Size	maxIterations,
		Size	maxStationaryStateIterations,
		Real	rootEpsilon,
		Real	functionEpsilon,
		Real	gradientNormEpsilon
	)

Initialization constructor.

Definition at line 29 of file endcriteria.cpp.

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Member Function Documentation

maxIterations()

Size maxIterations

(

)

const

Definition at line 141 of file endcriteria.cpp.

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maxStationaryStateIterations()

Size maxStationaryStateIterations

(

)

const

Definition at line 145 of file endcriteria.cpp.

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rootEpsilon()

Real rootEpsilon

(

)

const

Definition at line 149 of file endcriteria.cpp.

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functionEpsilon()

Real functionEpsilon

(

)

const

Definition at line 153 of file endcriteria.cpp.

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gradientNormEpsilon()

Real gradientNormEpsilon

(

)

const

Definition at line 157 of file endcriteria.cpp.

operator()()

bool operator()	(	Size	iteration,
		Size &	statState,
		bool	positiveOptimization,
		Real	fold,
		Real	normgold,
		Real	fnew,
		Real	normgnew,
		EndCriteria::Type &	ecType
	)		const

Test if the number of iterations is not too big and if a minimum point is not reached

Definition at line 125 of file endcriteria.cpp.

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checkMaxIterations()

bool checkMaxIterations	(	Size	iteration,
		EndCriteria::Type &	ecType
	)		const

Test if the number of iteration is below MaxIterations

Definition at line 56 of file endcriteria.cpp.

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checkStationaryPoint()

bool checkStationaryPoint	(	Real	xOld,
		Real	xNew,
		Size &	statStateIterations,
		EndCriteria::Type &	ecType
	)		const

Test if the root variation is below rootEpsilon

Definition at line 64 of file endcriteria.cpp.

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checkStationaryFunctionValue()

bool checkStationaryFunctionValue	(	Real	fxOld,
		Real	fxNew,
		Size &	statStateIterations,
		EndCriteria::Type &	ecType
	)		const

Test if the function variation is below functionEpsilon

Definition at line 79 of file endcriteria.cpp.

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checkStationaryFunctionAccuracy()

bool checkStationaryFunctionAccuracy	(	Real	f,
		bool	positiveOptimization,
		EndCriteria::Type &	ecType
	)		const

Test if the function value is below functionEpsilon

Definition at line 95 of file endcriteria.cpp.

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checkZeroGradientNorm()

bool checkZeroGradientNorm	(	Real	gNorm,
		EndCriteria::Type &	ecType
	)		const

Test if the gradient norm variation is below gradientNormEpsilon

Test if the gradient norm value is below gradientNormEpsilon

Definition at line 117 of file endcriteria.cpp.

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Member Data Documentation

maxIterations_

Size maxIterations_

protected

Maximum number of iterations.

Definition at line 100 of file endcriteria.hpp.

maxStationaryStateIterations_

Size maxStationaryStateIterations_

mutableprotected

Maximun number of iterations in stationary state.

Definition at line 102 of file endcriteria.hpp.

rootEpsilon_

Real rootEpsilon_

protected

root, function and gradient epsilons

Definition at line 104 of file endcriteria.hpp.

functionEpsilon_

Real functionEpsilon_

protected

Definition at line 104 of file endcriteria.hpp.

gradientNormEpsilon_

Real gradientNormEpsilon_

protected

Definition at line 104 of file endcriteria.hpp.