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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_problem.html">Problem</a></div>
<h1>Problem Class Reference</h1><!-- doxytag: class="QuantLib::Problem" --><code>#include <ql/math/optimization/problem.hpp></code>
<p>
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<a href="class_quant_lib_1_1_problem-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Constrained optimization problem. <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="4ca51162378bd037e929d7b5fc093a95"></a><!-- doxytag: member="QuantLib::Problem::Problem" ref="4ca51162378bd037e929d7b5fc093a95" args="(CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array())" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#4ca51162378bd037e929d7b5fc093a95">Problem</a> (<a class="el" href="class_quant_lib_1_1_cost_function.html">CostFunction</a> &costFunction, <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &initialValue=<a class="el" href="class_quant_lib_1_1_array.html">Array</a>())</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">default constructor <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#d20897c5c8bd47f5d4005989bead0e55">reset</a> ()</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="b5a7fc79ae2c7a09f08d7ab169a52dc7"></a><!-- doxytag: member="QuantLib::Problem::value" ref="b5a7fc79ae2c7a09f08d7ab169a52dc7" args="(const Array &x)" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#b5a7fc79ae2c7a09f08d7ab169a52dc7">value</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call cost function computation and increment evaluation counter <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="bc8c323a0850669748ab4342f3294ae9"></a><!-- doxytag: member="QuantLib::Problem::values" ref="bc8c323a0850669748ab4342f3294ae9" args="(const Array &x)" -->
<a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a>< <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_problem.html#bc8c323a0850669748ab4342f3294ae9">values</a> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call cost values computation and increment evaluation counter <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="de662b750c56006317b08b8aa6b38ac8"></a><!-- doxytag: member="QuantLib::Problem::gradient" ref="de662b750c56006317b08b8aa6b38ac8" args="(Array &grad_f, const Array &x)" -->
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#de662b750c56006317b08b8aa6b38ac8">gradient</a> (<a class="el" href="class_quant_lib_1_1_array.html">Array</a> &grad_f, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call cost function gradient computation and increment <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e1f5aed11663d0d3aac5a2b1ff111763"></a><!-- doxytag: member="QuantLib::Problem::valueAndGradient" ref="e1f5aed11663d0d3aac5a2b1ff111763" args="(Array &grad_f, const Array &x)" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#e1f5aed11663d0d3aac5a2b1ff111763">valueAndGradient</a> (<a class="el" href="class_quant_lib_1_1_array.html">Array</a> &grad_f, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &x)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">call cost function computation and it gradient <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="587d1ba7605c5e283b0e48a138b36b47"></a><!-- doxytag: member="QuantLib::Problem::constraint" ref="587d1ba7605c5e283b0e48a138b36b47" args="() const " -->
<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#587d1ba7605c5e283b0e48a138b36b47">constraint</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a>. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e7eb58c3620c8d99559a7a5739772e7a"></a><!-- doxytag: member="QuantLib::Problem::costFunction" ref="e7eb58c3620c8d99559a7a5739772e7a" args="() const " -->
<a class="el" href="class_quant_lib_1_1_cost_function.html">CostFunction</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#e7eb58c3620c8d99559a7a5739772e7a">costFunction</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Cost function. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="dd2cc5dffd3ac08701ec18a03a41d151"></a><!-- doxytag: member="QuantLib::Problem::setCurrentValue" ref="dd2cc5dffd3ac08701ec18a03a41d151" args="(const Array &currentValue)" -->
void </td><td class="memItemRight" valign="bottom"><b>setCurrentValue</b> (const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &currentValue)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="664394f06abfdf2668dffa35c5d2fc08"></a><!-- doxytag: member="QuantLib::Problem::currentValue" ref="664394f06abfdf2668dffa35c5d2fc08" args="() const " -->
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_problem.html#664394f06abfdf2668dffa35c5d2fc08">currentValue</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="c5276af7ef5302961018ebc9734223f0"></a><!-- doxytag: member="QuantLib::Problem::setFunctionValue" ref="c5276af7ef5302961018ebc9734223f0" args="(Real functionValue)" -->
void </td><td class="memItemRight" valign="bottom"><b>setFunctionValue</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> functionValue)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="507050a322afee6459b66f62c82a6672"></a><!-- doxytag: member="QuantLib::Problem::functionValue" ref="507050a322afee6459b66f62c82a6672" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#507050a322afee6459b66f62c82a6672">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="816d4b1c93a6838c0d409abc326a2236"></a><!-- doxytag: member="QuantLib::Problem::setGradientNormValue" ref="816d4b1c93a6838c0d409abc326a2236" args="(Real squaredNorm)" -->
void </td><td class="memItemRight" valign="bottom"><b>setGradientNormValue</b> (<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> squaredNorm)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3eb1f139d3924e741c5bb18c1525c5af"></a><!-- doxytag: member="QuantLib::Problem::gradientNormValue" ref="3eb1f139d3924e741c5bb18c1525c5af" args="() const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#3eb1f139d3924e741c5bb18c1525c5af">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="9ce4fbf7f4d0fa879601ef3dada784cc"></a><!-- doxytag: member="QuantLib::Problem::functionEvaluation" ref="9ce4fbf7f4d0fa879601ef3dada784cc" args="() const " -->
<a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#9ce4fbf7f4d0fa879601ef3dada784cc">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="899e30587abf2892515ee1ca642decb6"></a><!-- doxytag: member="QuantLib::Problem::gradientEvaluation" ref="899e30587abf2892515ee1ca642decb6" args="() const " -->
<a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#899e30587abf2892515ee1ca642decb6">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 colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1172b404ecd012087022709b0a80a1d1"></a><!-- doxytag: member="QuantLib::Problem::costFunction_" ref="1172b404ecd012087022709b0a80a1d1" args="" -->
<a class="el" href="class_quant_lib_1_1_cost_function.html">CostFunction</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#1172b404ecd012087022709b0a80a1d1">costFunction_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Unconstrained cost function. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="99de11981890ee039f574235d33748f8"></a><!-- doxytag: member="QuantLib::Problem::constraint_" ref="99de11981890ee039f574235d33748f8" args="" -->
<a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#99de11981890ee039f574235d33748f8">constraint_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight"><a class="el" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a>. <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="606d547447ff1c2954836887bd74e438"></a><!-- doxytag: member="QuantLib::Problem::currentValue_" ref="606d547447ff1c2954836887bd74e438" 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_problem.html#606d547447ff1c2954836887bd74e438">currentValue_</a></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="f306e7f46dac616d414c32fb9ec99b49"></a><!-- doxytag: member="QuantLib::Problem::functionValue_" ref="f306e7f46dac616d414c32fb9ec99b49" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#f306e7f46dac616d414c32fb9ec99b49">functionValue_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">function and gradient norm values at the curentValue_ (i.e. the last step) <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="495dc2d1ad3260b8fe18772d25ba9cc3"></a><!-- doxytag: member="QuantLib::Problem::squaredNorm_" ref="495dc2d1ad3260b8fe18772d25ba9cc3" args="" -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>squaredNorm_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="733c93ead43e5991f400c80708e828f7"></a><!-- doxytag: member="QuantLib::Problem::functionEvaluation_" ref="733c93ead43e5991f400c80708e828f7" args="" -->
<a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.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::Problem::gradientEvaluation_" ref="ce467be01625780015069dbded6e3d8a" args="" -->
<a class="el" href="group__types.html#gb9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>gradientEvaluation_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="d20897c5c8bd47f5d4005989bead0e55"></a><!-- doxytag: member="QuantLib::Problem::reset" ref="d20897c5c8bd47f5d4005989bead0e55" args="()" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">void reset </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
<dl compact><dt><b><a class="el" href="caveats.html#_caveats000056">Warning:</a></b></dt><dd>it does not reset the current minumum to any initial value </dd></dl>
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