QuantLib 0.3.11
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Reference manual
LineSearch Class Reference
#include <ql/Optimization/linesearch.hpp>
Inheritance diagram for LineSearch:
Detailed Description
Base class for line search.
Public Member Functions | |
| LineSearch (Real eps=1e-8) | |
| Default constructor. | |
| virtual | ~LineSearch () |
| Destructor. | |
| const Array & | lastX () |
| return last x value | |
| Real | lastFunctionValue () |
| return last cost function value | |
| const Array & | lastGradient () |
| return last gradient | |
| Real | lastGradientNorm2 () |
| return square norm of last gradient | |
| bool | succeed () |
| virtual Real | operator() (const Problem &P, Real t_ini)=0 |
| Perform line search. | |
| Real | update (Array ¶ms, const Array &direction, Real beta, const Constraint &constraint) |
Protected Attributes | |
| Array | xtd_ |
| new x and its gradient | |
| Array | gradient_ |
| Real | qt_ |
| cost function value and gradient norm corresponding to xtd_ | |
| Real | qpt_ |
| bool | succeed_ |
| flag to know if linesearch succeed | |
