Constrained optimization problem. More...

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

Public Member Functions
	Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array())
	default constructor

void	reset ()

Real	value (const Array &x)
	call cost function computation and increment evaluation counter

Disposable< Array >	values (const Array &x)
	call cost values computation and increment evaluation counter

void	gradient (Array &grad_f, const Array &x)
	call cost function gradient computation and increment

Real	valueAndGradient (Array &grad_f, const Array &x)
	call cost function computation and it gradient

Constraint &	constraint () const
	Constraint.

CostFunction &	costFunction () const
	Cost function.

void	setCurrentValue (const Array &currentValue)

const Array &	currentValue () const
	current value of the local minimum

void	setFunctionValue (Real functionValue)

Real	functionValue () const
	value of cost function

void	setGradientNormValue (Real squaredNorm)

Real	gradientNormValue () const
	value of cost function gradient norm

Integer	functionEvaluation () const
	number of evaluation of cost function

Integer	gradientEvaluation () const
	number of evaluation of cost function gradient

Protected Attributes
CostFunction &	costFunction_
	Unconstrained cost function.

Constraint &	constraint_
	Constraint.

Array	currentValue_
	current value of the local minimum

Real	functionValue_
	function and gradient norm values at the currentValue_ (i.e. the last step)

Real	squaredNorm_

Integer	functionEvaluation_
	number of evaluation of cost function and its gradient

Integer	gradientEvaluation_

Detailed Description

Constrained optimization problem.

Warning:: The passed CostFunction and Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.

Member Function Documentation

void reset ( )