ArmijoLineSearch (3) Linux Manual Page
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 [ f(x + t dot d) – f(x)
nt approximations, Optimization, volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, 1997)