SteepestDescent (3) - Linux Manuals

SteepestDescent: Multi-dimensional steepest-descent class.

NAME

QuantLib::SteepestDescent - Multi-dimensional steepest-descent class.

SYNOPSIS

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

Inherits QuantLib::LineSearchBasedMethod.

Public Member Functions

SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())

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

Detailed Description

Multi-dimensional steepest-descent class.

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

search direction $ = - f'(x) $

Author

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