QuantLib: a free/open-source library for quantitative finance
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method.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, 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
30
31namespace QuantLib {
32
33 class Problem;
34
35 //! Abstract class for constrained optimization method
37 public:
38 virtual ~OptimizationMethod() = default;
39
40 //! minimize the optimization problem P
42 const EndCriteria& endCriteria) = 0;
43 };
44
45}
46
47#endif
Criteria to end optimization process:
Definition: endcriteria.hpp:40
Abstract class for constrained optimization method.
Definition: method.hpp:36
virtual EndCriteria::Type minimize(Problem &P, const EndCriteria &endCriteria)=0
minimize the optimization problem P
virtual ~OptimizationMethod()=default
Constrained optimization problem.
Definition: problem.hpp:42
Optimization criteria class.
Definition: any.hpp:35