QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ql
math
optimization
method.hpp
Go to the documentation of this file.
1
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3
/*
4
Copyright (C) 2006, 2007 Ferdinando Ametrano
5
Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
6
Copyright (C) 2007 François du Vignaud
7
8
This file is part of QuantLib, a free-software/open-source library
9
for financial quantitative analysts and developers - http://quantlib.org/
10
11
QuantLib is free software: you can redistribute it and/or modify it
12
under the terms of the QuantLib license. You should have received a
13
copy of the license along with this program; if not, please email
14
<quantlib-dev@lists.sf.net>. The license is also available online at
15
<http://quantlib.org/license.shtml>.
16
17
This program is distributed in the hope that it will be useful, but WITHOUT
18
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
19
FOR A PARTICULAR PURPOSE. See the license for more details.
20
*/
21
22
/*! \file method.hpp
23
\brief Abstract optimization method class
24
*/
25
26
#ifndef quantlib_optimization_method_h
27
#define quantlib_optimization_method_h
28
29
#include <
ql/math/optimization/endcriteria.hpp
>
30
31
namespace
QuantLib
{
32
33
class
Problem;
34
35
//! Abstract class for constrained optimization method
36
class
OptimizationMethod
{
37
public
:
38
virtual
~OptimizationMethod
() =
default
;
39
40
//! minimize the optimization problem P
41
virtual
EndCriteria::Type
minimize
(
Problem
& P,
42
const
EndCriteria
& endCriteria) = 0;
43
};
44
45
}
46
47
#endif
QuantLib::EndCriteria
Criteria to end optimization process:
Definition:
endcriteria.hpp:40
QuantLib::EndCriteria::Type
Type
Definition:
endcriteria.hpp:42
QuantLib::OptimizationMethod
Abstract class for constrained optimization method.
Definition:
method.hpp:36
QuantLib::OptimizationMethod::minimize
virtual EndCriteria::Type minimize(Problem &P, const EndCriteria &endCriteria)=0
minimize the optimization problem P
QuantLib::OptimizationMethod::~OptimizationMethod
virtual ~OptimizationMethod()=default
QuantLib::Problem
Constrained optimization problem.
Definition:
problem.hpp:42
endcriteria.hpp
Optimization criteria class.
QuantLib
Definition:
any.hpp:35
Generated by
Doxygen
1.9.5