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<title>LineSearch Class Reference</title>
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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><b>QuantLib</b> </li>
<li class="navelem"><a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">LineSearch Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::LineSearch" -->
<p>Base class for line search.
<a href="class_quant_lib_1_1_line_search.html#details">More...</a></p>
<p><code>#include <ql/math/optimization/linesearch.hpp></code></p>
<div class="dynheader">
Inheritance diagram for LineSearch:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_line_search__inherit__graph.png" border="0" usemap="#_line_search_inherit__map" alt="Inheritance graph"/></div>
<map name="_line_search_inherit__map" id="_line_search_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_armijo_line_search.html" title="Armijo line search." alt="" coords="5,86,128,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_line_search-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abf6329e7e510004f936417b572cd3feb"></a><!-- doxytag: member="QuantLib::LineSearch::LineSearch" ref="abf6329e7e510004f936417b572cd3feb" args="(Real=0.0)" -->
 </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#abf6329e7e510004f936417b572cd3feb">LineSearch</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>=0.0)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Default constructor. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa1525d9d1f8f851f1371337be8d9a587"></a><!-- doxytag: member="QuantLib::LineSearch::~LineSearch" ref="aa1525d9d1f8f851f1371337be8d9a587" args="()" -->
virtual </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#aa1525d9d1f8f851f1371337be8d9a587">~LineSearch</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Destructor. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a73029249454596185357bd919ecc66e7"></a><!-- doxytag: member="QuantLib::LineSearch::lastX" ref="a73029249454596185357bd919ecc66e7" 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_line_search.html#a73029249454596185357bd919ecc66e7">lastX</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return last x value <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af69b05a05ba75aa93dad2aa580f192d0"></a><!-- doxytag: member="QuantLib::LineSearch::lastFunctionValue" ref="af69b05a05ba75aa93dad2aa580f192d0" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#af69b05a05ba75aa93dad2aa580f192d0">lastFunctionValue</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return last cost function value <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0a99d489f61c963d573fb9eb2a404c1d"></a><!-- doxytag: member="QuantLib::LineSearch::lastGradient" ref="a0a99d489f61c963d573fb9eb2a404c1d" 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_line_search.html#a0a99d489f61c963d573fb9eb2a404c1d">lastGradient</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return last gradient <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a54f1c9dd805235c94fb4145a860411d4"></a><!-- doxytag: member="QuantLib::LineSearch::lastGradientNorm2" ref="a54f1c9dd805235c94fb4145a860411d4" args="()" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#a54f1c9dd805235c94fb4145a860411d4">lastGradientNorm2</a> ()</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">return square norm of last gradient <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a493a40ac48f746089050c94b6b01ca52"></a><!-- doxytag: member="QuantLib::LineSearch::succeed" ref="a493a40ac48f746089050c94b6b01ca52" args="()" -->
bool </td><td class="memItemRight" valign="bottom"><b>succeed</b> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a97d8cb294aaa9a7bc88678370e80f31e"></a><!-- doxytag: member="QuantLib::LineSearch::operator()" ref="a97d8cb294aaa9a7bc88678370e80f31e" args="(Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini)=0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#a97d8cb294aaa9a7bc88678370e80f31e">operator()</a> (<a class="el" href="class_quant_lib_1_1_problem.html">Problem</a> &P, EndCriteria::Type &ecType, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> t_ini)=0</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Perform line search. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5014094d4595b63fad08d361f70bea98"></a><!-- doxytag: member="QuantLib::LineSearch::update" ref="a5014094d4595b63fad08d361f70bea98" args="(Array &params, const Array &direction, Real beta, const Constraint &constraint)" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>update</b> (<a class="el" href="class_quant_lib_1_1_array.html">Array</a> &params, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &direction, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> beta, const <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &constraint)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab43e31a0f04f11a616b9a1b08dbac7c7"></a><!-- doxytag: member="QuantLib::LineSearch::searchDirection" ref="ab43e31a0f04f11a616b9a1b08dbac7c7" 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_line_search.html#ab43e31a0f04f11a616b9a1b08dbac7c7">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" align="right" valign="top"><a class="anchor" id="a8925a1dc9b83be8f1181b1c638804a1f"></a><!-- doxytag: member="QuantLib::LineSearch::searchDirection" ref="a8925a1dc9b83be8f1181b1c638804a1f" 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>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2279b9a5a0693be810780a356ce2593f"></a><!-- doxytag: member="QuantLib::LineSearch::searchDirection_" ref="a2279b9a5a0693be810780a356ce2593f" 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_line_search.html#a2279b9a5a0693be810780a356ce2593f">searchDirection_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">current values of the search direction <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a633de5cce68edbe62dcc0104c92e69c1"></a><!-- doxytag: member="QuantLib::LineSearch::xtd_" ref="a633de5cce68edbe62dcc0104c92e69c1" 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_line_search.html#a633de5cce68edbe62dcc0104c92e69c1">xtd_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">new x and its gradient <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a28dad9f0113c33c5641f4c87b6c5208c"></a><!-- doxytag: member="QuantLib::LineSearch::gradient_" ref="a28dad9f0113c33c5641f4c87b6c5208c" args="" -->
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>gradient_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af784d8fad068c2fcb91696bd7a7346c3"></a><!-- doxytag: member="QuantLib::LineSearch::qt_" ref="af784d8fad068c2fcb91696bd7a7346c3" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#af784d8fad068c2fcb91696bd7a7346c3">qt_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">cost function value and gradient norm corresponding to xtd_ <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aca10938722a51a63857d6bc7bc1f4717"></a><!-- doxytag: member="QuantLib::LineSearch::qpt_" ref="aca10938722a51a63857d6bc7bc1f4717" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>qpt_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1bdb6aaa82b6a980db5312bcc3c86c3a"></a><!-- doxytag: member="QuantLib::LineSearch::succeed_" ref="a1bdb6aaa82b6a980db5312bcc3c86c3a" args="" -->
bool </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search.html#a1bdb6aaa82b6a980db5312bcc3c86c3a">succeed_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">flag to know if linesearch succeed <br/></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Base class for line search. </p>
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