BFGS.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 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.
*/
 
/*! \file bfgs.hpp
    \brief Broyden-Fletcher-Goldfarb-Shanno optimization method
*/
 
#ifndef quantlib_optimization_bfgs_hpp
#define quantlib_optimization_bfgs_hpp
 
#include "math/DynamicRectMatrix.hpp"
#include "optimization/LineSearchBasedMethod.hpp"
 
using namespace OpenMD;
namespace QuantLib {
 
  //! Broyden-Fletcher-Goldfarb-Shanno algorithm
  /*! See <http://en.wikipedia.org/wiki/BFGS_method>.
 
        Adapted from Numerical Recipes in C, 2nd edition.
 
        User has to provide line-search method and optimization end criteria.
    */
  class BFGS : public LineSearchBasedMethod {
  public:
    BFGS(LineSearch* lineSearch = NULL) : LineSearchBasedMethod(lineSearch) {}
 
  private:
    //! \name LineSearchBasedMethod interface
    //@{
    DynamicVector<RealType> getUpdatedDirection(
        const Problem& P, RealType gold2,
        const DynamicVector<RealType>& oldGradient);
    //@}
    //! inverse of hessian matrix
    DynamicRectMatrix<RealType> inverseHessian_;
  };
 
}  // namespace QuantLib
 
#endif