Rechercher une page de manuel
QuantLib_ConjugateGradient
Langue: en
Version: 376106 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ConjugateGradient -Multi-dimensional Conjugate Gradient class.
SYNOPSIS
#include <ql/math/optimization/conjugategradient.hpp>
Inherits QuantLib::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) $
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre