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/*
Copyright (C) 2001, 2002 Nicolas Di Csar
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it under the
terms of the QuantLib license. You should have received a copy of the
license along with this program; if not, please email ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file conjugategradient.hpp
\brief Conjugate gradient optimization method
\fullpath
ql/Optimization/%conjugategradient.hpp
*/
#ifndef quantlib_optimization_conjugate_gradient_h
#define quantlib_optimization_conjugate_gradient_h
#include "ql/Optimization/armijo.hpp"
namespace QuantLib {
namespace Optimization {
//! Multi-dimensionnal Conjugate Gradient class
/*! User has to provide line-search method and
optimization end criteria
search direction \f$ d_i = - f'(x_i) + c_i*d_{i-1} \f$
where \f$ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 \f$
and \f$ d_1 = - f'(x_1) \f$
*/
class ConjugateGradient: public OptimizationMethod {
public:
//! default constructor
ConjugateGradient() : OptimizationMethod(),
lineSearch_(Handle<LineSearch>(new ArmijoLineSearch())) {}
ConjugateGradient(const Handle<LineSearch>& lineSearch)
: OptimizationMethod(), lineSearch_ (lineSearch) {}
//! destructor
virtual ~ConjugateGradient() {}
//! minimize the optimization problem P
virtual void minimize(OptimizationProblem& P);
private:
//! line search
Handle<LineSearch> lineSearch_;
};
}
}
#endif
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