QuantLib::SteepestDescent Class Reference

Multi-dimensional steepest-descent class. More...

#include <SteepestDescent.hpp>

Inheritance diagram for QuantLib::SteepestDescent:

Public Member Functions
	SteepestDescent (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 steepest-descent class.

User has to provide line-search method and optimization end criteria

search direction \( = - f'(x) \)

Definition at line 37 of file SteepestDescent.hpp.

Constructor & Destructor Documentation

SteepestDescent()

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

inline

Definition at line 39 of file SteepestDescent.hpp.

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

• optimization/SteepestDescent.hpp
• optimization/SteepestDescent.cpp