QuantLib_LineSearch (3) - Linux Manuals

QuantLib_LineSearch: Base class for line search.


QuantLib::LineSearch - Base class for line search.


#include <ql/math/optimization/linesearch.hpp>

Inherited by ArmijoLineSearch.

Public Member Functions

LineSearch (Real=0.0)
Default constructor.
virtual ~LineSearch ()
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() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini)=0
Perform line search.
Real update (Array &params, const Array &direction, Real beta, const Constraint &constraint)

const Array & searchDirection () const
current value of the search direction
Array & searchDirection ()

Protected Attributes

Array searchDirection_
current values of the search direction
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

Detailed Description

Base class for line search.


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