QuantLib::LineSearchBasedMethod Class Reference

Inheritance diagram for QuantLib::LineSearchBasedMethod:

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

Protected Member Functions
virtual DynamicVector< RealType >	getUpdatedDirection (const Problem &P, RealType gold2, const DynamicVector< RealType > &gradient)=0
	computes the new search direction

Protected Attributes
LineSearch *	lineSearch_
	line search

Detailed Description

Definition at line 36 of file LineSearchBasedMethod.hpp.

Constructor & Destructor Documentation

LineSearchBasedMethod()

QuantLib::LineSearchBasedMethod::LineSearchBasedMethod

(

LineSearch *

lSearch = NULL

)

Definition at line 30 of file LineSearchBasedMethod.cpp.

~LineSearchBasedMethod()

QuantLib::LineSearchBasedMethod::~LineSearchBasedMethod ( )

virtual

Definition at line 35 of file LineSearchBasedMethod.cpp.

Member Function Documentation

minimize()

EndCriteria::Type QuantLib::LineSearchBasedMethod::minimize ( Problem & P, const EndCriteria & endCriteria, RealType initialStepSize )

virtual

minimize the optimization problem P

Implements QuantLib::OptimizationMethod.

Definition at line 37 of file LineSearchBasedMethod.cpp.

References QuantLib::Problem::currentValue(), QuantLib::Problem::functionValue(), QuantLib::Problem::gradientNormValue(), QuantLib::Problem::reset(), and QuantLib::Problem::valueAndGradient().

Member Data Documentation

lineSearch_

LineSearch* QuantLib::LineSearchBasedMethod::lineSearch_

protected

line search

Definition at line 51 of file LineSearchBasedMethod.hpp.

---

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

• optimization/LineSearchBasedMethod.hpp
• optimization/LineSearchBasedMethod.cpp