Simplex (3) - Linux Manuals

Simplex: Multi-dimensional simplex class.

NAME

QuantLib::Simplex - Multi-dimensional simplex class.

SYNOPSIS

#include <ql/math/optimization/simplex.hpp>

Inherits QuantLib::OptimizationMethod.

Public Member Functions

Simplex (Real lambda)

virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
minimize the optimization problem P

Detailed Description

Multi-dimensional simplex class.

Constructor & Destructor Documentation

Simplex (Real lambda)

Constructor taking as input the characteristic length

Author

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