QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Multi-dimensional steepest-descent class. More...
#include <steepestdescent.hpp>
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< LineSearch > | lineSearch_ |
line search More... | |
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.
SteepestDescent | ( | const ext::shared_ptr< LineSearch > & | lineSearch = ext::shared_ptr<LineSearch>() | ) |
Definition at line 39 of file steepestdescent.hpp.
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overrideprivatevirtual |
computes the new search direction
Implements LineSearchBasedMethod.
Definition at line 27 of file steepestdescent.cpp.