| 1 |
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
| 2 |
|
| 3 |
/* |
| 4 |
Copyright (C) 2006 Ferdinando Ametrano |
| 5 |
Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
| 6 |
Copyright (C) 2009 Frédéric Degraeve |
| 7 |
|
| 8 |
This file is part of QuantLib, a free-software/open-source library |
| 9 |
for financial quantitative analysts and developers - http://quantlib.org/ |
| 10 |
|
| 11 |
QuantLib is free software: you can redistribute it and/or modify it |
| 12 |
under the terms of the QuantLib license. You should have received a |
| 13 |
copy of the license along with this program; if not, please email |
| 14 |
<quantlib-dev@lists.sf.net>. The license is also available online at |
| 15 |
<http://quantlib.org/license.shtml>. |
| 16 |
|
| 17 |
This program is distributed in the hope that it will be useful, but WITHOUT |
| 18 |
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 19 |
FOR A PARTICULAR PURPOSE. See the license for more details. |
| 20 |
*/ |
| 21 |
|
| 22 |
/*! \file conjugategradient.hpp |
| 23 |
\brief Conjugate gradient optimization method |
| 24 |
*/ |
| 25 |
|
| 26 |
#ifndef quantlib_optimization_conjugate_gradient_h |
| 27 |
#define quantlib_optimization_conjugate_gradient_h |
| 28 |
|
| 29 |
#include "optimization/LineSearchBasedMethod.hpp" |
| 30 |
|
| 31 |
namespace QuantLib { |
| 32 |
|
| 33 |
//! Multi-dimensional Conjugate Gradient class. |
| 34 |
/*! Fletcher-Reeves-Polak-Ribiere algorithm |
| 35 |
adapted from Numerical Recipes in C, 2nd edition. |
| 36 |
|
| 37 |
User has to provide line-search method and optimization end criteria. |
| 38 |
Search direction \f$ d_i = - f'(x_i) + c_i*d_{i-1} \f$ |
| 39 |
where \f$ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \f$ |
| 40 |
and \f$ d_1 = - f'(x_1) \f$ |
| 41 |
*/ |
| 42 |
class ConjugateGradient: public LineSearchBasedMethod { |
| 43 |
public: |
| 44 |
ConjugateGradient(LineSearch* lineSearch = NULL) |
| 45 |
: LineSearchBasedMethod(lineSearch) {} |
| 46 |
private: |
| 47 |
//! \name LineSearchBasedMethod interface |
| 48 |
//@{ |
| 49 |
DynamicVector<RealType> getUpdatedDirection(const Problem &P, |
| 50 |
RealType gold2, |
| 51 |
const DynamicVector<RealType>& oldGradient); |
| 52 |
//@} |
| 53 |
}; |
| 54 |
|
| 55 |
} |
| 56 |
|
| 57 |
#endif |
