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QuantLib_SteepestDescent
Langue: en
Version: 165872 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SteepestDescent - Multi-dimensional steepest-descent class.SYNOPSIS
#include <ql/math/optimization/steepestdescent.hpp>
Inherits QuantLib::LineSearchBasedMethod.
Public Member Functions
SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
minimize the optimization problem P
Detailed Description
Multi-dimensional steepest-descent class.
User has to provide line-search method and optimization end criteria
search direction $ = - f'(x) $
Author
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