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<div id="projectbrief">A free/open-source library for quantitative finance</div>
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<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_problem.html">Problem</a></li> </ul>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">Problem Class Reference</div> </div>
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<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>
<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:a4ca51162378bd037e929d7b5fc093a95"><td class="memItemLeft" align="right" valign="top"><a id="a4ca51162378bd037e929d7b5fc093a95"></a>
 </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#a4b2d207627f81241191834cdc87f575e">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#a100af420f79038674ea294ee5173ef98">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 class="memdesc:a4ca51162378bd037e929d7b5fc093a95"><td class="mdescLeft"> </td><td class="mdescRight">default constructor <br /></td></tr>
<tr class="separator:a4ca51162378bd037e929d7b5fc093a95"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad20897c5c8bd47f5d4005989bead0e55"><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 class="separator:ad20897c5c8bd47f5d4005989bead0e55"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ab5a7fc79ae2c7a09f08d7ab169a52dc7"><td class="memItemLeft" align="right" valign="top"><a id="ab5a7fc79ae2c7a09f08d7ab169a52dc7"></a>
<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 class="memdesc:ab5a7fc79ae2c7a09f08d7ab169a52dc7"><td class="mdescLeft"> </td><td class="mdescRight">call cost function computation and increment evaluation counter <br /></td></tr>
<tr class="separator:ab5a7fc79ae2c7a09f08d7ab169a52dc7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:abc8c323a0850669748ab4342f3294ae9"><td class="memItemLeft" align="right" valign="top"><a id="abc8c323a0850669748ab4342f3294ae9"></a>
<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 class="memdesc:abc8c323a0850669748ab4342f3294ae9"><td class="mdescLeft"> </td><td class="mdescRight">call cost values computation and increment evaluation counter <br /></td></tr>
<tr class="separator:abc8c323a0850669748ab4342f3294ae9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ade662b750c56006317b08b8aa6b38ac8"><td class="memItemLeft" align="right" valign="top"><a id="ade662b750c56006317b08b8aa6b38ac8"></a>
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 class="memdesc:ade662b750c56006317b08b8aa6b38ac8"><td class="mdescLeft"> </td><td class="mdescRight">call cost function gradient computation and increment <br /></td></tr>
<tr class="separator:ade662b750c56006317b08b8aa6b38ac8"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae1f5aed11663d0d3aac5a2b1ff111763"><td class="memItemLeft" align="right" valign="top"><a id="ae1f5aed11663d0d3aac5a2b1ff111763"></a>
<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 class="memdesc:ae1f5aed11663d0d3aac5a2b1ff111763"><td class="mdescLeft"> </td><td class="mdescRight">call cost function computation and it gradient <br /></td></tr>
<tr class="separator:ae1f5aed11663d0d3aac5a2b1ff111763"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a100af420f79038674ea294ee5173ef98"><td class="memItemLeft" align="right" valign="top"><a id="a100af420f79038674ea294ee5173ef98"></a>
<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#a100af420f79038674ea294ee5173ef98">constraint</a> () const</td></tr>
<tr class="memdesc:a100af420f79038674ea294ee5173ef98"><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 class="separator:a100af420f79038674ea294ee5173ef98"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a4b2d207627f81241191834cdc87f575e"><td class="memItemLeft" align="right" valign="top"><a id="a4b2d207627f81241191834cdc87f575e"></a>
<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#a4b2d207627f81241191834cdc87f575e">costFunction</a> () const</td></tr>
<tr class="memdesc:a4b2d207627f81241191834cdc87f575e"><td class="mdescLeft"> </td><td class="mdescRight">Cost function. <br /></td></tr>
<tr class="separator:a4b2d207627f81241191834cdc87f575e"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:add2cc5dffd3ac08701ec18a03a41d151"><td class="memItemLeft" align="right" valign="top"><a id="add2cc5dffd3ac08701ec18a03a41d151"></a>
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#a2640a08249de104b1944e52e352400a9">currentValue</a>)</td></tr>
<tr class="separator:add2cc5dffd3ac08701ec18a03a41d151"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2640a08249de104b1944e52e352400a9"><td class="memItemLeft" align="right" valign="top"><a id="a2640a08249de104b1944e52e352400a9"></a>
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#a2640a08249de104b1944e52e352400a9">currentValue</a> () const</td></tr>
<tr class="memdesc:a2640a08249de104b1944e52e352400a9"><td class="mdescLeft"> </td><td class="mdescRight">current value of the local minimum <br /></td></tr>
<tr class="separator:a2640a08249de104b1944e52e352400a9"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5276af7ef5302961018ebc9734223f0"><td class="memItemLeft" align="right" valign="top"><a id="ac5276af7ef5302961018ebc9734223f0"></a>
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#a65346e4673b66b0d3ec79dcffad1734a">functionValue</a>)</td></tr>
<tr class="separator:ac5276af7ef5302961018ebc9734223f0"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a65346e4673b66b0d3ec79dcffad1734a"><td class="memItemLeft" align="right" valign="top"><a id="a65346e4673b66b0d3ec79dcffad1734a"></a>
<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#a65346e4673b66b0d3ec79dcffad1734a">functionValue</a> () const</td></tr>
<tr class="memdesc:a65346e4673b66b0d3ec79dcffad1734a"><td class="mdescLeft"> </td><td class="mdescRight">value of cost function <br /></td></tr>
<tr class="separator:a65346e4673b66b0d3ec79dcffad1734a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a816d4b1c93a6838c0d409abc326a2236"><td class="memItemLeft" align="right" valign="top"><a id="a816d4b1c93a6838c0d409abc326a2236"></a>
void </td><td class="memItemRight" valign="bottom"><b>setGradientNormValue</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> squaredNorm)</td></tr>
<tr class="separator:a816d4b1c93a6838c0d409abc326a2236"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8e1917a03a536fd788612eba7c78ed61"><td class="memItemLeft" align="right" valign="top"><a id="a8e1917a03a536fd788612eba7c78ed61"></a>
<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#a8e1917a03a536fd788612eba7c78ed61">gradientNormValue</a> () const</td></tr>
<tr class="memdesc:a8e1917a03a536fd788612eba7c78ed61"><td class="mdescLeft"> </td><td class="mdescRight">value of cost function gradient norm <br /></td></tr>
<tr class="separator:a8e1917a03a536fd788612eba7c78ed61"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a82ee0985ecccbdc973ccd4ac78d82497"><td class="memItemLeft" align="right" valign="top"><a id="a82ee0985ecccbdc973ccd4ac78d82497"></a>
<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#a82ee0985ecccbdc973ccd4ac78d82497">functionEvaluation</a> () const</td></tr>
<tr class="memdesc:a82ee0985ecccbdc973ccd4ac78d82497"><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function <br /></td></tr>
<tr class="separator:a82ee0985ecccbdc973ccd4ac78d82497"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:aa1b27e05cc7d496e71335b6cf2bb3ac3"><td class="memItemLeft" align="right" valign="top"><a id="aa1b27e05cc7d496e71335b6cf2bb3ac3"></a>
<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#aa1b27e05cc7d496e71335b6cf2bb3ac3">gradientEvaluation</a> () const</td></tr>
<tr class="memdesc:aa1b27e05cc7d496e71335b6cf2bb3ac3"><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function gradient <br /></td></tr>
<tr class="separator:aa1b27e05cc7d496e71335b6cf2bb3ac3"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:a1172b404ecd012087022709b0a80a1d1"><td class="memItemLeft" align="right" valign="top"><a id="a1172b404ecd012087022709b0a80a1d1"></a>
<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 class="memdesc:a1172b404ecd012087022709b0a80a1d1"><td class="mdescLeft"> </td><td class="mdescRight">Unconstrained cost function. <br /></td></tr>
<tr class="separator:a1172b404ecd012087022709b0a80a1d1"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a99de11981890ee039f574235d33748f8"><td class="memItemLeft" align="right" valign="top"><a id="a99de11981890ee039f574235d33748f8"></a>
<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 class="memdesc:a99de11981890ee039f574235d33748f8"><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 class="separator:a99de11981890ee039f574235d33748f8"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a606d547447ff1c2954836887bd74e438"><td class="memItemLeft" align="right" valign="top"><a id="a606d547447ff1c2954836887bd74e438"></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#a606d547447ff1c2954836887bd74e438">currentValue_</a></td></tr>
<tr class="memdesc:a606d547447ff1c2954836887bd74e438"><td class="mdescLeft"> </td><td class="mdescRight">current value of the local minimum <br /></td></tr>
<tr class="separator:a606d547447ff1c2954836887bd74e438"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:af306e7f46dac616d414c32fb9ec99b49"><td class="memItemLeft" align="right" valign="top"><a id="af306e7f46dac616d414c32fb9ec99b49"></a>
<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 class="memdesc:af306e7f46dac616d414c32fb9ec99b49"><td class="mdescLeft"> </td><td class="mdescRight">function and gradient norm values at the currentValue_ (i.e. the last step) <br /></td></tr>
<tr class="separator:af306e7f46dac616d414c32fb9ec99b49"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a495dc2d1ad3260b8fe18772d25ba9cc3"><td class="memItemLeft" align="right" valign="top"><a id="a495dc2d1ad3260b8fe18772d25ba9cc3"></a>
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>squaredNorm_</b></td></tr>
<tr class="separator:a495dc2d1ad3260b8fe18772d25ba9cc3"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a733c93ead43e5991f400c80708e828f7"><td class="memItemLeft" align="right" valign="top"><a id="a733c93ead43e5991f400c80708e828f7"></a>
<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 class="memdesc:a733c93ead43e5991f400c80708e828f7"><td class="mdescLeft"> </td><td class="mdescRight">number of evaluation of cost function and its gradient <br /></td></tr>
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<a class="el" href="group__types.html#gab9c87440c314438e51a899a03d2442d0">Integer</a> </td><td class="memItemRight" valign="bottom"><b>gradientEvaluation_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><p>Constrained optimization problem. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000102">Warning:</a></b></dt><dd>The passed <a class="el" href="class_quant_lib_1_1_cost_function.html" title="Cost function abstract class for optimization problem.">CostFunction</a> and <a class="el" href="class_quant_lib_1_1_constraint.html" title="Base constraint class.">Constraint</a> instances are stored by reference. The user of this class must make sure that they are not destroyed before the <a class="el" href="class_quant_lib_1_1_problem.html" title="Constrained optimization problem.">Problem</a> instance. </dd></dl>
<dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_global_optimizer_8cpp-example.html#_a4">GlobalOptimizer.cpp</a>.</dd>
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</div><h2 class="groupheader">Member Function Documentation</h2>
<a id="ad20897c5c8bd47f5d4005989bead0e55"></a>
<h2 class="memtitle"><span class="permalink"><a href="#ad20897c5c8bd47f5d4005989bead0e55">◆ </a></span>reset()</h2>
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<td class="memname">void reset </td>
<td>(</td>
<td class="paramname"></td><td>)</td>
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<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000103">Warning:</a></b></dt><dd>it does not reset the current minumum to any initial value </dd></dl>
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