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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_optimization_method.html">OptimizationMethod</a></div>
<h1>OptimizationMethod Class Reference</h1><!-- doxytag: class="QuantLib::OptimizationMethod" --><code>#include <ql/Optimization/method.hpp></code>
<p>
Inheritance diagram for OptimizationMethod:<p><center><img src="class_quant_lib_1_1_optimization_method__inherit__graph.png" border="0" usemap="#_optimization_method__inherit__map" alt="Inheritance graph"></center>
<map name="_optimization_method__inherit__map">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_optimization_method-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Abstract class for constrained optimization method.
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f613c32948b2ea9a318a13c5e7c6240e"></a><!-- doxytag: member="QuantLib::OptimizationMethod::OptimizationMethod" ref="f613c32948b2ea9a318a13c5e7c6240e" args="(const EndCriteria &endCriteria, const Array &initialValue)" -->
</td><td class="memItemRight" valign="bottom"><b>OptimizationMethod</b> (const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &initialValue)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3332be4ffb31e7777ad8797ddaf803a9"></a><!-- doxytag: member="QuantLib::OptimizationMethod::setInitialValue" ref="3332be4ffb31e7777ad8797ddaf803a9" args="(const Array &initialValue)" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#3332be4ffb31e7777ad8797ddaf803a9">setInitialValue</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &initialValue)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Set initial value. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="11f450e6deb3532a7318a83e04738232"></a><!-- doxytag: member="QuantLib::OptimizationMethod::setEndCriteria" ref="11f450e6deb3532a7318a83e04738232" args="(const EndCriteria &endCriteria)" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#11f450e6deb3532a7318a83e04738232">setEndCriteria</a> (const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Set optimization end criteria. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="8dff7a00549ab76c0e322a05f1eb333f"></a><!-- doxytag: member="QuantLib::OptimizationMethod::iterationNumber" ref="8dff7a00549ab76c0e322a05f1eb333f" args="() const" -->
Integer & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#8dff7a00549ab76c0e322a05f1eb333f">iterationNumber</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current iteration number <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a28fb53548dfc7f0c5e1e69044543ebc"></a><!-- doxytag: member="QuantLib::OptimizationMethod::endCriteria" ref="a28fb53548dfc7f0c5e1e69044543ebc" args="() const" -->
<a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#a28fb53548dfc7f0c5e1e69044543ebc">endCriteria</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">optimization end criteria <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="79695f0748547f3801f765a92d8031b7"></a><!-- doxytag: member="QuantLib::OptimizationMethod::functionEvaluation" ref="79695f0748547f3801f765a92d8031b7" args="() const" -->
Integer & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#79695f0748547f3801f765a92d8031b7">functionEvaluation</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4f5bc5fcda571e9984d296f098cf6ccf"></a><!-- doxytag: member="QuantLib::OptimizationMethod::gradientEvaluation" ref="4f5bc5fcda571e9984d296f098cf6ccf" args="() const" -->
Integer & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#4f5bc5fcda571e9984d296f098cf6ccf">gradientEvaluation</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function gradient <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="0eeacf2a3c01f7e88d76080c6b22b587"></a><!-- doxytag: member="QuantLib::OptimizationMethod::functionValue" ref="0eeacf2a3c01f7e88d76080c6b22b587" args="() const" -->
Real & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#0eeacf2a3c01f7e88d76080c6b22b587">functionValue</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">value of cost function <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="5a8b8a5b967e08bc373ae53ab9b04e9f"></a><!-- doxytag: member="QuantLib::OptimizationMethod::gradientNormValue" ref="5a8b8a5b967e08bc373ae53ab9b04e9f" args="() const" -->
Real & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#5a8b8a5b967e08bc373ae53ab9b04e9f">gradientNormValue</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">value of cost function gradient norm <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d8e8b3da179b5e0979dd859196f2eacb"></a><!-- doxytag: member="QuantLib::OptimizationMethod::x" ref="d8e8b3da179b5e0979dd859196f2eacb" args="() const" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#d8e8b3da179b5e0979dd859196f2eacb">x</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current value of the local minimum <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="95367937b1d2faab5faabbc2caae893f"></a><!-- doxytag: member="QuantLib::OptimizationMethod::searchDirection" ref="95367937b1d2faab5faabbc2caae893f" args="() const" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#95367937b1d2faab5faabbc2caae893f">searchDirection</a> () const</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current value of the search direction <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="23a14c44a119dc87365a12f959429001"></a><!-- doxytag: member="QuantLib::OptimizationMethod::minimize" ref="23a14c44a119dc87365a12f959429001" args="(const Problem &P) const=0" -->
virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#23a14c44a119dc87365a12f959429001">minimize</a> (const <a class="el" href="class_quant_lib_1_1_problem.html">Problem</a> &P) const=0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">minimize the optimization problem P <br></td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d7bc327ccf371646902f998ddc9ee396"></a><!-- doxytag: member="QuantLib::OptimizationMethod::iterationNumber_" ref="d7bc327ccf371646902f998ddc9ee396" args="" -->
Integer </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#d7bc327ccf371646902f998ddc9ee396">iterationNumber_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current iteration step in the Optimization process <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="733c93ead43e5991f400c80708e828f7"></a><!-- doxytag: member="QuantLib::OptimizationMethod::functionEvaluation_" ref="733c93ead43e5991f400c80708e828f7" args="" -->
Integer </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#733c93ead43e5991f400c80708e828f7">functionEvaluation_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function and its gradient <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ce467be01625780015069dbded6e3d8a"></a><!-- doxytag: member="QuantLib::OptimizationMethod::gradientEvaluation_" ref="ce467be01625780015069dbded6e3d8a" args="" -->
Integer </td><td class="memItemRight" valign="bottom"><b>gradientEvaluation_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f306e7f46dac616d414c32fb9ec99b49"></a><!-- doxytag: member="QuantLib::OptimizationMethod::functionValue_" ref="f306e7f46dac616d414c32fb9ec99b49" args="" -->
Real </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#f306e7f46dac616d414c32fb9ec99b49">functionValue_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">function and gradient norm values of the last step <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="495dc2d1ad3260b8fe18772d25ba9cc3"></a><!-- doxytag: member="QuantLib::OptimizationMethod::squaredNorm_" ref="495dc2d1ad3260b8fe18772d25ba9cc3" args="" -->
Real </td><td class="memItemRight" valign="bottom"><b>squaredNorm_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="998023fae792d91bfa5077153c94c404"></a><!-- doxytag: member="QuantLib::OptimizationMethod::endCriteria_" ref="998023fae792d91bfa5077153c94c404" args="" -->
<a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#998023fae792d91bfa5077153c94c404">endCriteria_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">optimization end criteria <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c747f0da8a61fa1e328dd4c421865a36"></a><!-- doxytag: member="QuantLib::OptimizationMethod::initialValue_" ref="c747f0da8a61fa1e328dd4c421865a36" args="" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#c747f0da8a61fa1e328dd4c421865a36">initialValue_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">initial value of unknowns <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a17c3bd9fcf002dcb2dbfb5efc269c8c"></a><!-- doxytag: member="QuantLib::OptimizationMethod::x_" ref="a17c3bd9fcf002dcb2dbfb5efc269c8c" args="" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_optimization_method.html#a17c3bd9fcf002dcb2dbfb5efc269c8c">x_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current values of the local minimum and the search direction <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2279b9a5a0693be810780a356ce2593f"></a><!-- doxytag: member="QuantLib::OptimizationMethod::searchDirection_" ref="2279b9a5a0693be810780a356ce2593f" args="" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>searchDirection_</b></td></tr>
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