QuantLib_SimulatedAnnealing man page

SimulatedAnnealing< RNG > —

Synopsis

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

Inherits OptimizationMethod.

Public Types

enum Scheme { ConstantFactor, ConstantBudget }

Public Member Functions

SimulatedAnnealing (const Real lambda, const Real T0, const Real epsilon, const Size m, const RNG &rng=RNG())

SimulatedAnnealing (const Real lambda, const Real T0, const Size K, const Real alpha, const RNG &rng=RNG())

EndCriteria::Type minimize (Problem &P, const EndCriteria &ec)
minimize the optimization problem P

Detailed Description

template<class RNG = MersenneTwisterUniformRng>

class QuantLib::SimulatedAnnealing< RNG >" Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Constructor & Destructor Documentation

SimulatedAnnealing (const Real lambda, const Real T0, const Real epsilon, const Size m, const RNG & rng = RNG())

reduce temperature T by a factor of $ (1-\psilon) $ after m moves

SimulatedAnnealing (const Real lambda, const Real T0, const Size K, const Real alpha, const RNG & rng = RNG())

budget a total of K moves, set temperature T to the initial temperature times $ ( 1 - k/K )^alpha $ with k being the total number of moves so far. After K moves the temperature is guaranteed to be zero, after that the optimization runs like a deterministic simplex algorithm.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

SimulatedAnnealing(3) is an alias of QuantLib_SimulatedAnnealing(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib