QuantLib_LineSearch man page

LineSearch — Base class for line search.  

Synopsis

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

Inherited by ArmijoLineSearch, and GoldsteinLineSearch.

Public Member Functions

LineSearch (Real=0.0)
Default constructor.
virtual ~LineSearch ()
Destructor.
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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

The man pages 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).

Fri Sep 1 2017 Version 1.10.1 QuantLib