SteepestDescent (3) Linux Manual Page

QuantLib::SteepestDescent – Multi-dimensional steepest-descent class.

Synopsis

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

Inherits QuantLib::LineSearchBasedMethod.

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

Multi-dimensional steepest-descent class.

User has to provide line-search method and optimization end criteria

search direction $ = – f'(x) $

Generated automatically by Doxygen for QuantLib from the source code.