xtd_ (3) - Linux Manuals
xtd_: Base class for line search.
NAME
QuantLib::LineSearch - Base class for line search.
SYNOPSIS
#include <ql/math/optimization/linesearch.hpp>
Inherited by ArmijoLineSearch.
Public Member Functions
LineSearch (Real=0.0)
Default constructor.
virtual ~LineSearch ()
Destructor.
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 ¶ms, 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.
Author
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