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QuantLib_ArmijoLineSearch
Langue: en
Version: 156861 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ArmijoLineSearch - Armijo line search.SYNOPSIS
#include <ql/math/optimization/armijo.hpp>
Inherits QuantLib::LineSearch.
Public Member Functions
ArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65)
Default constructor.
Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini)
Perform line search.
Detailed Description
Armijo line search.
Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let $ x $ be the current value of the unknown, $ d $ the search direction and $ t $ the step. Let $ f $ be the function to minimize. The line search stops when $ t $ verifies \ and \
(see Polak, Algorithms and consistent approximations, Optimization, volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, 1997)
Author
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