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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<!-- doxytag: class="QuantLib::Problem" -->
<p>Constrained optimization problem.
<a href="class_quant_lib_1_1_problem.html#details">More...</a></p>
<p><code>#include <ql/math/optimization/problem.hpp></code></p>
<p><a href="class_quant_lib_1_1_problem-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="a4ca51162378bd037e929d7b5fc093a95"></a><!-- doxytag: member="QuantLib::Problem::Problem" ref="a4ca51162378bd037e929d7b5fc093a95" 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#a4ca51162378bd037e929d7b5fc093a95">Problem</a> (<a class="el" href="class_quant_lib_1_1_cost_function.html">CostFunction</a> &<a class="el" href="class_quant_lib_1_1_problem.html#ae7eb58c3620c8d99559a7a5739772e7a">costFunction</a>, <a class="el" href="class_quant_lib_1_1_constraint.html">Constraint</a> &<a class="el" href="class_quant_lib_1_1_problem.html#a587d1ba7605c5e283b0e48a138b36b47">constraint</a>, 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" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#ad20897c5c8bd47f5d4005989bead0e55">reset</a> ()</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab5a7fc79ae2c7a09f08d7ab169a52dc7"></a><!-- doxytag: member="QuantLib::Problem::value" ref="ab5a7fc79ae2c7a09f08d7ab169a52dc7" args="(const Array &x)" -->
<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_problem.html#ab5a7fc79ae2c7a09f08d7ab169a52dc7">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" align="right" valign="top"><a class="anchor" id="abc8c323a0850669748ab4342f3294ae9"></a><!-- doxytag: member="QuantLib::Problem::values" ref="abc8c323a0850669748ab4342f3294ae9" 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#abc8c323a0850669748ab4342f3294ae9">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" align="right" valign="top"><a class="anchor" id="ade662b750c56006317b08b8aa6b38ac8"></a><!-- doxytag: member="QuantLib::Problem::gradient" ref="ade662b750c56006317b08b8aa6b38ac8" 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#ade662b750c56006317b08b8aa6b38ac8">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" align="right" valign="top"><a class="anchor" id="ae1f5aed11663d0d3aac5a2b1ff111763"></a><!-- doxytag: member="QuantLib::Problem::valueAndGradient" ref="ae1f5aed11663d0d3aac5a2b1ff111763" args="(Array &grad_f, const Array &x)" -->
<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_problem.html#ae1f5aed11663d0d3aac5a2b1ff111763">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" align="right" valign="top"><a class="anchor" id="a587d1ba7605c5e283b0e48a138b36b47"></a><!-- doxytag: member="QuantLib::Problem::constraint" ref="a587d1ba7605c5e283b0e48a138b36b47" 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#a587d1ba7605c5e283b0e48a138b36b47">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" align="right" valign="top"><a class="anchor" id="ae7eb58c3620c8d99559a7a5739772e7a"></a><!-- doxytag: member="QuantLib::Problem::costFunction" ref="ae7eb58c3620c8d99559a7a5739772e7a" 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#ae7eb58c3620c8d99559a7a5739772e7a">costFunction</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Cost function. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="add2cc5dffd3ac08701ec18a03a41d151"></a><!-- doxytag: member="QuantLib::Problem::setCurrentValue" ref="add2cc5dffd3ac08701ec18a03a41d151" 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> &<a class="el" href="class_quant_lib_1_1_problem.html#a664394f06abfdf2668dffa35c5d2fc08">currentValue</a>)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a664394f06abfdf2668dffa35c5d2fc08"></a><!-- doxytag: member="QuantLib::Problem::currentValue" ref="a664394f06abfdf2668dffa35c5d2fc08" 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#a664394f06abfdf2668dffa35c5d2fc08">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" align="right" valign="top"><a class="anchor" id="ac5276af7ef5302961018ebc9734223f0"></a><!-- doxytag: member="QuantLib::Problem::setFunctionValue" ref="ac5276af7ef5302961018ebc9734223f0" args="(Real functionValue)" -->
void </td><td class="memItemRight" valign="bottom"><b>setFunctionValue</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_problem.html#a507050a322afee6459b66f62c82a6672">functionValue</a>)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a507050a322afee6459b66f62c82a6672"></a><!-- doxytag: member="QuantLib::Problem::functionValue" ref="a507050a322afee6459b66f62c82a6672" args="() const " -->
<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_problem.html#a507050a322afee6459b66f62c82a6672">functionValue</a> () const </td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">value of cost function <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a816d4b1c93a6838c0d409abc326a2236"></a><!-- doxytag: member="QuantLib::Problem::setGradientNormValue" ref="a816d4b1c93a6838c0d409abc326a2236" args="(Real squaredNorm)" -->
void </td><td class="memItemRight" valign="bottom"><b>setGradientNormValue</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> squaredNorm)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3eb1f139d3924e741c5bb18c1525c5af"></a><!-- doxytag: member="QuantLib::Problem::gradientNormValue" ref="a3eb1f139d3924e741c5bb18c1525c5af" args="() const " -->
<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_problem.html#a3eb1f139d3924e741c5bb18c1525c5af">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" align="right" valign="top"><a class="anchor" id="a9ce4fbf7f4d0fa879601ef3dada784cc"></a><!-- doxytag: member="QuantLib::Problem::functionEvaluation" ref="a9ce4fbf7f4d0fa879601ef3dada784cc" args="() const " -->
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#a9ce4fbf7f4d0fa879601ef3dada784cc">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" align="right" valign="top"><a class="anchor" id="a899e30587abf2892515ee1ca642decb6"></a><!-- doxytag: member="QuantLib::Problem::gradientEvaluation" ref="a899e30587abf2892515ee1ca642decb6" args="() const " -->
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#a899e30587abf2892515ee1ca642decb6">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"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1172b404ecd012087022709b0a80a1d1"></a><!-- doxytag: member="QuantLib::Problem::costFunction_" ref="a1172b404ecd012087022709b0a80a1d1" 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#a1172b404ecd012087022709b0a80a1d1">costFunction_</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Unconstrained cost function. <br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a99de11981890ee039f574235d33748f8"></a><!-- doxytag: member="QuantLib::Problem::constraint_" ref="a99de11981890ee039f574235d33748f8" 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#a99de11981890ee039f574235d33748f8">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" align="right" valign="top"><a class="anchor" id="a606d547447ff1c2954836887bd74e438"></a><!-- doxytag: member="QuantLib::Problem::currentValue_" ref="a606d547447ff1c2954836887bd74e438" 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#a606d547447ff1c2954836887bd74e438">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" align="right" valign="top"><a class="anchor" id="af306e7f46dac616d414c32fb9ec99b49"></a><!-- doxytag: member="QuantLib::Problem::functionValue_" ref="af306e7f46dac616d414c32fb9ec99b49" 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_problem.html#af306e7f46dac616d414c32fb9ec99b49">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" align="right" valign="top"><a class="anchor" id="a495dc2d1ad3260b8fe18772d25ba9cc3"></a><!-- doxytag: member="QuantLib::Problem::squaredNorm_" ref="a495dc2d1ad3260b8fe18772d25ba9cc3" args="" -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>squaredNorm_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a733c93ead43e5991f400c80708e828f7"></a><!-- doxytag: member="QuantLib::Problem::functionEvaluation_" ref="a733c93ead43e5991f400c80708e828f7" args="" -->
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_problem.html#a733c93ead43e5991f400c80708e828f7">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" align="right" valign="top"><a class="anchor" id="ace467be01625780015069dbded6e3d8a"></a><!-- doxytag: member="QuantLib::Problem::gradientEvaluation_" ref="ace467be01625780015069dbded6e3d8a" args="" -->
<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>gradientEvaluation_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Constrained optimization problem. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ad20897c5c8bd47f5d4005989bead0e55"></a><!-- doxytag: member="QuantLib::Problem::reset" ref="ad20897c5c8bd47f5d4005989bead0e55" args="()" -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_problem.html#ad20897c5c8bd47f5d4005989bead0e55">reset</a> </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
<td></td>
</tr>
</table>
</div>
<div class="memdoc">
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000070">Warning:</a></b></dt><dd>it does not reset the current minumum to any initial value </dd></dl>
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