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/*
Copyright (C) 2001, 2002 Sadruddin Rejeb
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 simplex.hpp
\brief Simplex optimization method
\fullpath
ql/Optimization/%simplex.hpp
*/
/* The implementation of the algorithm was inspired by
* "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery
* Chapter 10
*/
#ifndef quantlib_optimization_simplex_h
#define quantlib_optimization_simplex_h
#include <ql/Optimization/optimizer.hpp>
#include <vector>
namespace QuantLib {
namespace Optimization {
//! Multi-dimensionnal Simplex class
class Simplex : public OptimizationMethod {
public:
/*! Constructor taking as input \f$ \lambda \f$ as the
characteristic length and tol as the precision
*/
Simplex(double lambda, double tol)
: OptimizationMethod(), lambda_(lambda), tol_(tol) {}
virtual ~Simplex() {}
double extrapolate(OptimizationProblem& P, Size iHighest,
double factor);
virtual void minimize(OptimizationProblem& P);
private:
double lambda_;
double tol_;
std::vector<Array> vertices_;
Array values_;
Array sum_;
};
}
}
#endif
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