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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2001, 2002, 2003 Nicolas Di Csar
Copyright (C) 2009 Frdric 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 steepestdescent.hpp
\brief Steepest descent optimization method
*/
#ifndef quantlib_optimization_steepest_descent_h
#define quantlib_optimization_steepest_descent_h
#include <ql/math/optimization/linesearchbasedmethod.hpp>
namespace QuantLib {
//! Multi-dimensional steepest-descent class
/*! User has to provide line-search method and optimization end criteria
search direction \f$ = - f'(x) \f$
*/
class SteepestDescent : public LineSearchBasedMethod {
public:
SteepestDescent(const boost::shared_ptr<LineSearch>& lineSearch =
boost::shared_ptr<LineSearch>())
: LineSearchBasedMethod(lineSearch) {}
private:
//! \name LineSearchBasedMethod interface
//@{
Disposable<Array> getUpdatedDirection(const Problem& P,
Real gold2,
const Array& oldGradient);
//@}
};
}
#endif
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