src/optimization/ConjugateGradient.cpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 /*
 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
 Copyright (C) 2007 Ferdinando Ametrano
 Copyright (C) 2007 Marco Bianchetti
 Copyright (C) 2007 François du Vignaud
 Copyright (C) 2009 Frédéric Degraeve

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

#include "optimization/ConjugateGradient.hpp"
#include "optimization/Problem.hpp"
#include "optimization/LineSearch.hpp"

namespace QuantLib {

    DynamicVector<RealType> ConjugateGradient::getUpdatedDirection(const Problem& P,
                                                                   RealType gold2,
                                                                   const DynamicVector<RealType>&) {
        return -lineSearch_->lastGradient() +
            (P.gradientNormValue() / gold2) * lineSearch_->searchDirection();
    }

}
Revision:	1741
Committed:	Tue Jun 5 18:02:44 2012 UTC (13 years, 4 months ago) by gezelter
Original Path:	*branches/development/src/optimization/ConjugateGradient.cpp*
File size:	1518 byte(s)
Log Message:	Adding initial import of optimization library
#	User	Rev	Content
1	gezelter	1741	/* -- 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) 2007 Ferdinando Ametrano
6			Copyright (C) 2007 Marco Bianchetti
7			Copyright (C) 2007 François du Vignaud
8			Copyright (C) 2009 Frédéric Degraeve
9
10			This file is part of QuantLib, a free-software/open-source library
11			for financial quantitative analysts and developers - http://quantlib.org/
12
13			QuantLib is free software: you can redistribute it and/or modify it
14			under the terms of the QuantLib license. You should have received a
15			copy of the license along with this program; if not, please email
16			<quantlib-dev@lists.sf.net>. The license is also available online at
17			<http://quantlib.org/license.shtml>.
18
19			This program is distributed in the hope that it will be useful, but WITHOUT
20			ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
21			FOR A PARTICULAR PURPOSE. See the license for more details.
22			*/
23
24			#include "optimization/ConjugateGradient.hpp"
25			#include "optimization/Problem.hpp"
26			#include "optimization/LineSearch.hpp"
27
28			namespace QuantLib {
29
30			DynamicVector<RealType> ConjugateGradient::getUpdatedDirection(const Problem& P,
31			RealType gold2,
32			const DynamicVector<RealType>&) {
33			return -lineSearch_->lastGradient() +
34			(P.gradientNormValue() / gold2) * lineSearch_->searchDirection();
35			}
36
37			}