QuantLib_ArmijoLineSearch (3) - Linux Manuals

QuantLib_ArmijoLineSearch: Armijo line search.


QuantLib::ArmijoLineSearch - Armijo line search.


#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)


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