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.


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Referenced By

The man page BFGS(3) is an alias of QuantLib_BFGS(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib