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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2009 Frédéric Degraeve
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
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
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 linesearchbasedmethod.hpp
\brief Abstract optimization method class
*/
#ifndef quantlib_line_search_based_optimization_method_h
#define quantlib_line_search_based_optimization_method_h
#include <ql/math/optimization/method.hpp>
#include <ql/math/array.hpp>
#include <ql/shared_ptr.hpp>
namespace QuantLib {
class LineSearch;
//! Line search based method
class LineSearchBasedMethod : public OptimizationMethod {
public:
explicit LineSearchBasedMethod(
ext::shared_ptr<LineSearch> lSearch = ext::shared_ptr<LineSearch>());
~LineSearchBasedMethod() override = default;
EndCriteria::Type minimize(Problem& P, const EndCriteria& endCriteria) override;
protected:
//! computes the new search direction
virtual Array getUpdatedDirection(const Problem &P,
Real gold2,
const Array& gradient) = 0;
//! line search
ext::shared_ptr<LineSearch> lineSearch_;
};
}
#endif
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