QuantLib::BFGS Class Reference

Broyden-Fletcher-Goldfarb-Shanno algorithm. More...

#include <BFGS.hpp>

Inheritance diagram for QuantLib::BFGS:

Public Member Functions
	BFGS (LineSearch *lineSearch=NULL)
Public Member Functions inherited from QuantLib::LineSearchBasedMethod
	LineSearchBasedMethod (LineSearch *lSearch=NULL)
virtual EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria, RealType initialStepSize)
	minimize the optimization problem P

Additional Inherited Members
Protected Attributes inherited from QuantLib::LineSearchBasedMethod
LineSearch *	lineSearch_
	line search

Detailed Description

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.

Definition at line 40 of file BFGS.hpp.

Constructor & Destructor Documentation

BFGS()

QuantLib::BFGS::BFGS ( LineSearch * lineSearch = NULL )

inline

Definition at line 42 of file BFGS.hpp.

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The documentation for this class was generated from the following files:

• optimization/BFGS.hpp
• optimization/BFGS.cpp