QuantLib: a free/open-source library for quantitative finance
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steepestdescent.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
5 Copyright (C) 2009 Frédéric Degraeve
6
7 This file is part of QuantLib, a free-software/open-source library
8 for financial quantitative analysts and developers - http://quantlib.org/
9
10 QuantLib is free software: you can redistribute it and/or modify it
11 under the terms of the QuantLib license. You should have received a
12 copy of the license along with this program; if not, please email
13 <quantlib-dev@lists.sf.net>. The license is also available online at
14 <http://quantlib.org/license.shtml>.
15
16 This program is distributed in the hope that it will be useful, but WITHOUT
17 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18 FOR A PARTICULAR PURPOSE. See the license for more details.
19*/
20
25#ifndef quantlib_optimization_steepest_descent_h
26#define quantlib_optimization_steepest_descent_h
27
28#include <ql/math/optimization/linesearchbasedmethod.hpp>
29
30namespace QuantLib {
31
33
38 public:
39 SteepestDescent(const ext::shared_ptr<LineSearch>& lineSearch =
40 ext::shared_ptr<LineSearch>())
41 : LineSearchBasedMethod(lineSearch) {}
42 private:
44
45 Array getUpdatedDirection(const Problem& P, Real gold2, const Array& oldGradient) override;
47 };
48
49}
50
51#endif
1-D array used in linear algebra.
Definition: array.hpp:52
Constrained optimization problem.
Definition: problem.hpp:42
Multi-dimensional steepest-descent class.
SteepestDescent(const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >())
Array getUpdatedDirection(const Problem &P, Real gold2, const Array &oldGradient) override
computes the new search direction
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35