QuantLib_BFGS man page

BFGS — Broyden-Fletcher-Goldfarb-Shanno algorithm.


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

Inherits LineSearchBasedMethod.

Public Member Functions

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

Detailed Description

Broyden-Fletcher-Goldfarb-Shanno algorithm.

See http://en.wikipedia.org/wiki/BFGS_method.

Adapted from Numerical Recipes in C, 2nd edition.

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


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

BFGS(3) is an alias of QuantLib_BFGS(3).

QuantLib Version 1.8.1 Fri Sep 23 2016