QuantLib_ConjugateGradient man page

ConjugateGradient — Multi-dimensional Conjugate Gradient class.

Synopsis

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

Inherits LineSearchBasedMethod.

Public Member Functions

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

Detailed Description

Multi-dimensional Conjugate Gradient class.

Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.

User has to provide line-search method and optimization end criteria. Search direction $ d_i = - f'(x_i) + c_i*d_{i-1} $ where $ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 $ and $ d_1 = - f'(x_1) $

This optimization method requires the knowledge of the gradient of the cost function.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

ConjugateGradient(3) is an alias of QuantLib_ConjugateGradient(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib