QuantLib::ConjugateGradient - Multi-dimensional Conjugate Gradient class.


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

Inherits QuantLib::LineSearchBasedMethod.

Public Member Functions

ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())

virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
solve the optimization problem P

Detailed Description

Multi-dimensional Conjugate Gradient class.

Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.

User has to provide line-search method and optimization end criteria. Search direction $ d_i = - f'(x_i) + c_i*d_{i-1} $ where $ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 $ and $ d_1 = - f'(x_1) $


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