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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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|
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/* |
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Copyright (C) 2009 Frédéric Degraeve |
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|
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This file is part of QuantLib, a free-software/open-source library |
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for financial quantitative analysts and developers - http://quantlib.org/ |
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|
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QuantLib is free software: you can redistribute it and/or modify it |
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under the terms of the QuantLib license. You should have received a |
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copy of the license along with this program; if not, please email |
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<quantlib-dev@lists.sf.net>. The license is also available online at |
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<http://quantlib.org/license.shtml>. |
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|
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This program is distributed in the hope that it will be useful, but WITHOUT |
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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FOR A PARTICULAR PURPOSE. See the license for more details. |
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*/ |
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|
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/*! \file bfgs.hpp |
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\brief Broyden-Fletcher-Goldfarb-Shanno optimization method |
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*/ |
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#ifndef quantlib_optimization_bfgs_hpp |
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#define quantlib_optimization_bfgs_hpp |
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|
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#include "optimization/LineSearchBasedMethod.hpp" |
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#include "math/DynamicRectMatrix.hpp" |
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|
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using namespace OpenMD; |
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namespace QuantLib { |
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|
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//! Broyden-Fletcher-Goldfarb-Shanno algorithm |
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/*! See <http://en.wikipedia.org/wiki/BFGS_method>. |
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Adapted from Numerical Recipes in C, 2nd edition. |
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User has to provide line-search method and optimization end criteria. |
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*/ |
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class BFGS: public LineSearchBasedMethod { |
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public: |
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BFGS(LineSearch* lineSearch = NULL) |
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: LineSearchBasedMethod(lineSearch) {} |
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private: |
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//! \name LineSearchBasedMethod interface |
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//@{ |
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DynamicVector<RealType> getUpdatedDirection(const Problem &P, |
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RealType gold2, |
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const DynamicVector<RealType>& oldGradient); |
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//@} |
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//! inverse of hessian matrix |
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DynamicRectMatrix<RealType> inverseHessian_; |
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}; |
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|
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} |
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#endif |
