ConjugateGradient Class Reference

Multi-dimensional Conjugate Gradient class. More...

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

Inheritance diagram for ConjugateGradient:

Public Member Functions
	ConjugateGradient (const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >())
Public Member Functions inherited from LineSearchBasedMethod
	LineSearchBasedMethod (const ext::shared_ptr< LineSearch > &lSearch=ext::shared_ptr< LineSearch >())
virtual EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria)
	minimize the optimization problem P

Additional Inherited Members
Protected Attributes inherited from LineSearchBasedMethod
ext::shared_ptr< LineSearch >	lineSearch_
	line search

Detailed Description

Multi-dimensional Conjugate Gradient class.

Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.

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 \( d_1 = - f'(x_1) \)

This optimization method requires the knowledge of the gradient of the cost function.