QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | List of all members
SteepestDescent Class Reference

Multi-dimensional steepest-descent class. More...

#include <steepestdescent.hpp>

+ Inheritance diagram for SteepestDescent:
+ Collaboration diagram for SteepestDescent:

Public Member Functions

 SteepestDescent (const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >())
 
- Public Member Functions inherited from LineSearchBasedMethod
 LineSearchBasedMethod (ext::shared_ptr< LineSearch > lSearch=ext::shared_ptr< LineSearch >())
 
 ~LineSearchBasedMethod () override=default
 
EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria) override
 minimize the optimization problem P More...
 
- Public Member Functions inherited from OptimizationMethod
virtual ~OptimizationMethod ()=default
 
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)=0
 minimize the optimization problem P More...
 

Private Member Functions

LineSearchBasedMethod interface
Array getUpdatedDirection (const Problem &P, Real gold2, const Array &oldGradient) override
 computes the new search direction More...
 

Additional Inherited Members

virtual Array getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0
 computes the new search direction More...
 
- Protected Attributes inherited from LineSearchBasedMethod
ext::shared_ptr< LineSearchlineSearch_
 line search More...
 

Detailed Description

Multi-dimensional steepest-descent class.

User has to provide line-search method and optimization end criteria

search direction \( = - f'(x) \)

Definition at line 37 of file steepestdescent.hpp.

Constructor & Destructor Documentation

◆ SteepestDescent()

SteepestDescent ( const ext::shared_ptr< LineSearch > &  lineSearch = ext::shared_ptr<LineSearch>())

Definition at line 39 of file steepestdescent.hpp.

Member Function Documentation

◆ getUpdatedDirection()

Array getUpdatedDirection ( const Problem P,
Real  gold2,
const Array gradient 
)
overrideprivatevirtual

computes the new search direction

Implements LineSearchBasedMethod.

Definition at line 27 of file steepestdescent.cpp.