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
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
|
<!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: SimulatedAnnealing< RNG > Class Template 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_simulated_annealing.html">SimulatedAnnealing</a></li> </ul>
</div>
</div><!-- top -->
<div class="header">
<div class="summary">
<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
<a href="class_quant_lib_1_1_simulated_annealing-members.html">List of all members</a> </div>
<div class="headertitle">
<div class="title">SimulatedAnnealing< RNG > Class Template 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>Simulated Annealing.
<a href="class_quant_lib_1_1_simulated_annealing.html#details">More...</a></p>
<p><code>#include <ql/math/optimization/simulatedannealing.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 SimulatedAnnealing< RNG >:</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_simulated_annealing__inherit__graph.png" border="0" usemap="#a_simulated_annealing_3_01_r_n_g_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_simulated_annealing_3_01_r_n_g_01_4_inherit__map" id="a_simulated_annealing_3_01_r_n_g_01_4_inherit__map">
<area shape="rect" title="Simulated Annealing." alt="" coords="6,80,143,121"/>
<area shape="rect" href="class_quant_lib_1_1_optimization_method.html" title="Abstract class for constrained optimization method." alt="" coords="5,5,144,32"/>
</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-types"></a>
Public Types</h2></td></tr>
<tr class="memitem:a5c5181a54a4f46149d9c9662b2694167"><td class="memItemLeft" align="right" valign="top"><a id="a5c5181a54a4f46149d9c9662b2694167"></a>enum  </td><td class="memItemRight" valign="bottom"><b>Scheme</b> { <b>ConstantFactor</b>,
<b>ConstantBudget</b>
}</td></tr>
<tr class="separator:a5c5181a54a4f46149d9c9662b2694167"><td class="memSeparator" colspan="2"> </td></tr>
</table><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:a2a19201b49b575c39dcaee99b4912433"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_simulated_annealing.html#a2a19201b49b575c39dcaee99b4912433">SimulatedAnnealing</a> (const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lambda, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> T0, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> epsilon, const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> m, const RNG &rng=RNG())</td></tr>
<tr class="separator:a2a19201b49b575c39dcaee99b4912433"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a813f5d07e6abd98966b1c123fb46529a"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_simulated_annealing.html#a813f5d07e6abd98966b1c123fb46529a">SimulatedAnnealing</a> (const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> lambda, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> T0, const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> K, const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> alpha, const RNG &rng=RNG())</td></tr>
<tr class="separator:a813f5d07e6abd98966b1c123fb46529a"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a8693b2a32ae0e3466251132b1776f7ab"><td class="memItemLeft" align="right" valign="top"><a id="a8693b2a32ae0e3466251132b1776f7ab"></a>
EndCriteria::Type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_simulated_annealing.html#a8693b2a32ae0e3466251132b1776f7ab">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> &ec)</td></tr>
<tr class="memdesc:a8693b2a32ae0e3466251132b1776f7ab"><td class="mdescLeft"> </td><td class="mdescRight">minimize the optimization problem P <br /></td></tr>
<tr class="separator:a8693b2a32ae0e3466251132b1776f7ab"><td class="memSeparator" colspan="2"> </td></tr>
</table>
<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class RNG = MersenneTwisterUniformRng><br />
class QuantLib::SimulatedAnnealing< RNG ></h3>
<p>Simulated Annealing. </p>
<p>Class RNG must implement the following interface: </p><div class="fragment"><div class="line">RNG::sample_type RNG::next() <span class="keyword">const</span>;</div>
</div><!-- fragment --> <dl class="section examples"><dt>Examples</dt><dd><a class="el" href="_global_optimizer_8cpp-example.html#_a16">GlobalOptimizer.cpp</a>.</dd>
</dl>
</div><h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="a2a19201b49b575c39dcaee99b4912433"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a2a19201b49b575c39dcaee99b4912433">◆ </a></span>SimulatedAnnealing() <span class="overload">[1/2]</span></h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_simulated_annealing.html">SimulatedAnnealing</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>lambda</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>T0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>epsilon</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>m</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const RNG & </td>
<td class="paramname"><em>rng</em> = <code>RNG()</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div><div class="memdoc">
<p>reduce temperature T by a factor of \( (1-\epsilon) \) after m moves </p>
</div>
</div>
<a id="a813f5d07e6abd98966b1c123fb46529a"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a813f5d07e6abd98966b1c123fb46529a">◆ </a></span>SimulatedAnnealing() <span class="overload">[2/2]</span></h2>
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_simulated_annealing.html">SimulatedAnnealing</a> </td>
<td>(</td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>lambda</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>T0</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>K</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>alpha</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">const RNG & </td>
<td class="paramname"><em>rng</em> = <code>RNG()</code> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td></td>
</tr>
</table>
</div><div class="memdoc">
<p>budget a total of K moves, set temperature T to the initial temperature times \( ( 1 - k/K )^\alpha \) with k being the total number of moves so far. After K moves the temperature is guaranteed to be zero, after that the optimization runs like a deterministic simplex algorithm. </p>
</div>
</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>
|
