QuantLib::ConjugateGradient

ConjugateGradient Class Reference

#include <ql/Optimization/conjugategradient.hpp>

Inheritance diagram for ConjugateGradient:

[legend]List of all members.

Detailed Description

Multi-dimensional Conjugate Gradient class.

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) $

Public Member Functions

ConjugateGradient ()

default constructor

ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch)

virtual ~ConjugateGradient ()

destructor

virtual void minimize (const Problem &P) const

minimize the optimization problem P

QuantLib 0.3.12

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Reference manual

ConjugateGradient Class Reference

Detailed Description

Public Member Functions


Public Member Functions
	ConjugateGradient ()
	default constructor
	ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch)
virtual	~ConjugateGradient ()
	destructor
virtual void	minimize (const Problem &P) const
	minimize the optimization problem P