Method.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
 Copyright (C) 2007 François du Vignaud
 
 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 method.hpp
    \brief Abstract optimization method class
*/
 
#ifndef quantlib_optimization_method_h
#define quantlib_optimization_method_h
 
#include "optimization/EndCriteria.hpp"
 
namespace QuantLib {
 
  class Problem;
 
  //! Abstract class for constrained optimization method
  class OptimizationMethod {
  public:
    virtual ~OptimizationMethod() {}
 
    //! minimize the optimization problem P
    virtual EndCriteria::Type minimize(Problem& P,
                                       const EndCriteria& endCriteria,
                                       RealType initialStepSize) = 0;
  };
 
}  // namespace QuantLib
 
#endif