QuantLib::ConjugateGradient Class Reference

Multi-dimensional Conjugate Gradient class. More...

#include <ConjugateGradient.hpp>

Inheritance diagram for QuantLib::ConjugateGradient:

Public Member Functions
	ConjugateGradient (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

Multi-dimensional Conjugate Gradient class.

Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.

User has to provide line-search method and optimization end criteria. Search direction \( d_i = - f'(x_i) + c_i*d_{i-1} \) where \( c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \) and \( d_1 = - f'(x_1) \)

Definition at line 42 of file ConjugateGradient.hpp.

Constructor & Destructor Documentation

ConjugateGradient()

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

inline

Definition at line 44 of file ConjugateGradient.hpp.

---

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

• optimization/ConjugateGradient.hpp
• optimization/ConjugateGradient.cpp