QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | armijo.cpp [code] |
file | armijo.hpp [code] |
Armijo line-search class. | |
file | bfgs.cpp [code] |
file | bfgs.hpp [code] |
Broyden-Fletcher-Goldfarb-Shanno optimization method. | |
file | conjugategradient.cpp [code] |
file | conjugategradient.hpp [code] |
Conjugate gradient optimization method. | |
file | constraint.cpp [code] |
file | constraint.hpp [code] |
Abstract constraint class. | |
file | costfunction.hpp [code] |
Optimization cost function class. | |
file | differentialevolution.cpp [code] |
file | differentialevolution.hpp [code] |
Differential Evolution optimization method. | |
file | endcriteria.cpp [code] |
file | endcriteria.hpp [code] |
Optimization criteria class. | |
file | goldstein.cpp [code] |
file | goldstein.hpp [code] |
Goldstein and Price line-search class. | |
file | leastsquare.cpp [code] |
file | leastsquare.hpp [code] |
Least square cost function. | |
file | levenbergmarquardt.cpp [code] |
file | levenbergmarquardt.hpp [code] |
Levenberg-Marquardt optimization method. | |
file | linesearch.cpp [code] |
file | linesearch.hpp [code] |
Line search abstract class. | |
file | linesearchbasedmethod.cpp [code] |
file | linesearchbasedmethod.hpp [code] |
Abstract optimization method class. | |
file | lmdif.cpp [code] |
file | lmdif.hpp [code] |
wrapper for MINPACK minimization routine | |
file | method.hpp [code] |
Abstract optimization method class. | |
file | problem.hpp [code] |
Abstract optimization problem class. | |
file | projectedconstraint.hpp [code] |
Projected constraint. | |
file | projectedcostfunction.cpp [code] |
file | projectedcostfunction.hpp [code] |
Cost function utility. | |
file | projection.cpp [code] |
file | projection.hpp [code] |
Parameter projection. | |
file | simplex.cpp [code] |
file | simplex.hpp [code] |
Simplex optimization method. | |
file | simulatedannealing.hpp [code] |
Numerical Recipes in C (second edition), Chapter 10.9, with the original exit criterion in f(x) replaced by one in x (see simplex.cpp for a reference to GSL concerning this) | |
file | spherecylinder.cpp [code] |
file | spherecylinder.hpp [code] |
Find closest point of the intersection of a sphere and cylinder to a given point. | |
file | steepestdescent.cpp [code] |
file | steepestdescent.hpp [code] |
Steepest descent optimization method. | |