SteepestDescent (3) Linux Manual Page
QuantLib::SteepestDescent – Multi-dimensional steepest-descent class.
Synopsis
#include <ql/math/optimization/steepestdescent.hpp>Inherits QuantLib::LineSearchBasedMethod.
Public Member Functions
SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >()) virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
minimize the optimization problem P
Detailed Description
Multi-dimensional steepest-descent class.User has to provide line-search method and optimization end criteria
search direction $ = – f'(x) $