QuantLib_LineSearch man page

LineSearch — Base class for line search.


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

Inherited by ArmijoLineSearch, and GoldsteinLineSearch.

Public Member Functions

LineSearch (Real=0.0)
Default constructor.
virtual ~LineSearch ()
const Array & lastX ()
return last x value
Real lastFunctionValue ()
return last cost function value
const Array & lastGradient ()
return last gradient
Real lastGradientNorm2 ()
return square norm of last gradient
bool succeed ()

virtual Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini)=0
Perform line search.
Real update (Array &params, const Array &direction, Real beta, const Constraint &constraint)

const Array & searchDirection () const
current value of the search direction
Array & searchDirection ()

Protected Attributes

Array searchDirection_
current values of the search direction
Array xtd_
new x and its gradient
Array gradient_

Real qt_
cost function value and gradient norm corresponding to xtd_
Real qpt_

bool succeed_
flag to know if linesearch succeed

Detailed Description

Base class for line search.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

gradient_(3), lastFunctionValue(3), lastGradient(3), lastGradientNorm2(3), lastX(3), LineSearch(3), _LineSearch(3), qpt_(3), qt_(3), searchDirection(3), searchDirection_(3), succeed(3), succeed_(3) and xtd_(3) are aliases of QuantLib_LineSearch(3).

QuantLib Version 1.8.1 Fri Sep 23 2016