1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
|
<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head>
<meta http-equiv="Content-Type" content="text/xhtml;charset=UTF-8"/>
<meta http-equiv="X-UA-Compatible" content="IE=9"/>
<meta name="generator" content="Doxygen 1.8.20"/>
<meta name="viewport" content="width=device-width, initial-scale=1"/>
<title>QuantLib: ConjugateGradient Class Reference</title>
<link href='https://fonts.googleapis.com/css?family=Merriweather+Sans:800' rel='stylesheet' type='text/css'>
<link href="tabs.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="jquery.js"></script>
<script type="text/javascript" src="dynsections.js"></script>
<link href="search/search.css" rel="stylesheet" type="text/css"/>
<script type="text/javascript" src="search/searchdata.js"></script>
<script type="text/javascript" src="search/search.js"></script>
<script type="text/x-mathjax-config">
MathJax.Hub.Config({
extensions: ["tex2jax.js"],
jax: ["input/TeX","output/HTML-CSS"],
});
</script>
<script type="text/javascript" async="async" src="https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/MathJax.js"></script>
<link href="doxygen.css" rel="stylesheet" type="text/css" />
<link href="quantlibextra.css" rel="stylesheet" type="text/css"/>
</head>
<body>
<div id="top"><!-- do not remove this div, it is closed by doxygen! -->
<div id="titlearea">
<table cellspacing="0" cellpadding="0">
<tbody>
<tr style="height: 56px;">
<td id="projectalign" style="padding-left: 0.5em;">
<div id="projectname"><a href="http://quantlib.org">
<img alt="QuantLib" src="QL-title.jpg"></a>
<div id="projectbrief">A free/open-source library for quantitative finance</div>
<div id="projectnumber">Reference manual - version 1.20</div>
</div>
</td>
</tr>
</tbody>
</table>
</div>
<!-- end header part -->
<!-- Generated by Doxygen 1.8.20 -->
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
var searchBox = new SearchBox("searchBox", "search",false,'Search');
/* @license-end */
</script>
<script type="text/javascript" src="menudata.js"></script>
<script type="text/javascript" src="menu.js"></script>
<script type="text/javascript">
/* @license magnet:?xt=urn:btih:cf05388f2679ee054f2beb29a391d25f4e673ac3&dn=gpl-2.0.txt GPL-v2 */
$(function() {
initMenu('',true,false,'search.php','Search');
$(document).ready(function() { init_search(); });
});
/* @license-end */</script>
<div id="main-nav"></div>
<!-- window showing the filter options -->
<div id="MSearchSelectWindow"
onmouseover="return searchBox.OnSearchSelectShow()"
onmouseout="return searchBox.OnSearchSelectHide()"
onkeydown="return searchBox.OnSearchSelectKey(event)">
</div>
<!-- iframe showing the search results (closed by default) -->
<div id="MSearchResultsWindow">
<iframe src="javascript:void(0)" frameborder="0"
name="MSearchResults" id="MSearchResults">
</iframe>
</div>
<div id="nav-path" class="navpath">
<ul>
<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_conjugate_gradient.html">ConjugateGradient</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_conjugate_gradient-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">ConjugateGradient Class Reference<div class="ingroups"><a class="el" href="group__math.html">Math tools</a> » <a class="el" href="group__optimizers.html">Optimizers</a></div></div> </div>
</div><!--header-->
<div class="contents">
<p>Multi-dimensional Conjugate Gradient class.
<a href="class_quant_lib_1_1_conjugate_gradient.html#details">More...</a></p>
<p><code>#include <ql/math/optimization/conjugategradient.hpp></code></p>
<div id="dynsection-0" onclick="return toggleVisibility(this)" class="dynheader closed" style="cursor:pointer;">
<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for ConjugateGradient:</div>
<div id="dynsection-0-summary" class="dynsummary" style="display:block;">
</div>
<div id="dynsection-0-content" class="dyncontent" style="display:none;">
<div class="center"><img src="class_quant_lib_1_1_conjugate_gradient__inherit__graph.png" border="0" usemap="#a_conjugate_gradient_inherit__map" alt="Inheritance graph"/></div>
<map name="_conjugate_gradient_inherit__map" id="a_conjugate_gradient_inherit__map">
<area shape="rect" title="Multi-dimensional Conjugate Gradient class." alt="" coords="23,155,154,181"/>
<area shape="rect" href="class_quant_lib_1_1_line_search_based_method.html" title="Line search based method." alt="" coords="5,80,172,107"/>
<area shape="rect" href="class_quant_lib_1_1_optimization_method.html" title="Abstract class for constrained optimization method." alt="" coords="19,5,158,32"/>
</map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a46a10c29576bd34008906121aae0775f"><td class="memItemLeft" align="right" valign="top"><a id="a46a10c29576bd34008906121aae0775f"></a>
 </td><td class="memItemRight" valign="bottom"><b>ConjugateGradient</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> > &lineSearch=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> >())</td></tr>
<tr class="separator:a46a10c29576bd34008906121aae0775f"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_line_search_based_method"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_line_search_based_method')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_line_search_based_method.html">LineSearchBasedMethod</a></td></tr>
<tr class="memitem:ad58c64e510c614c7d902e3746e5d671d inherit pub_methods_class_quant_lib_1_1_line_search_based_method"><td class="memItemLeft" align="right" valign="top"><a id="ad58c64e510c614c7d902e3746e5d671d"></a>
 </td><td class="memItemRight" valign="bottom"><b>LineSearchBasedMethod</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> > &lSearch=ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> >())</td></tr>
<tr class="separator:ad58c64e510c614c7d902e3746e5d671d inherit pub_methods_class_quant_lib_1_1_line_search_based_method"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a3b8d7f680b62c4b7cf2aa17eb818688a inherit pub_methods_class_quant_lib_1_1_line_search_based_method"><td class="memItemLeft" align="right" valign="top"><a id="a3b8d7f680b62c4b7cf2aa17eb818688a"></a>
virtual EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search_based_method.html#a3b8d7f680b62c4b7cf2aa17eb818688a">minimize</a> (<a class="el" href="class_quant_lib_1_1_problem.html">Problem</a> &P, const <a class="el" href="class_quant_lib_1_1_end_criteria.html">EndCriteria</a> &endCriteria)</td></tr>
<tr class="memdesc:a3b8d7f680b62c4b7cf2aa17eb818688a inherit pub_methods_class_quant_lib_1_1_line_search_based_method"><td class="mdescLeft"> </td><td class="mdescRight">minimize the optimization problem P <br /></td></tr>
<tr class="separator:a3b8d7f680b62c4b7cf2aa17eb818688a inherit pub_methods_class_quant_lib_1_1_line_search_based_method"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_attribs_class_quant_lib_1_1_line_search_based_method"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_line_search_based_method')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_line_search_based_method.html">LineSearchBasedMethod</a></td></tr>
<tr class="memitem:ae63b30d6881ce3f59184cb2595736817 inherit pro_attribs_class_quant_lib_1_1_line_search_based_method"><td class="memItemLeft" align="right" valign="top"><a id="ae63b30d6881ce3f59184cb2595736817"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_line_search.html">LineSearch</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_line_search_based_method.html#ae63b30d6881ce3f59184cb2595736817">lineSearch_</a></td></tr>
<tr class="memdesc:ae63b30d6881ce3f59184cb2595736817 inherit pro_attribs_class_quant_lib_1_1_line_search_based_method"><td class="mdescLeft"> </td><td class="mdescRight">line search <br /></td></tr>
<tr class="separator:ae63b30d6881ce3f59184cb2595736817 inherit pro_attribs_class_quant_lib_1_1_line_search_based_method"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Multi-dimensional Conjugate Gradient class. </p>
<p>Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.</p>
<p>User has to provide line-search method and optimization end criteria. Search direction \( d_i = - f'(x_i) + c_i*d_{i-1} \) where \( c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \) and \( d_1 = - f'(x_1) \)</p>
<p>This optimization method requires the knowledge of the gradient of the cost function. </p>
</div></div><!-- contents -->
<!-- HTML footer for doxygen 1.8.9.1-->
<!-- start footer part -->
<hr class="footer"/><address class="footer"><small>
Generated by <a href="http://www.doxygen.org/index.html">Doxygen</a>
1.8.20
</small></address>
</body>
</html>
|
