optimizers man page

optimizers

Synopsis

Classes

class ConjugateGradient
Multi-dimensional Conjugate Gradient class.
class DifferentialEvolution
Differential Evolution configuration object.
class LevenbergMarquardt
Levenberg-Marquardt optimization method.
class Simplex
Multi-dimensional simplex class.
class SimulatedAnnealing< RNG >

Detailed Description

The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).

Author

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Info

Fri Sep 1 2017 Version 1.10.1 QuantLib