Rechercher une page de manuel
QuantLib_BFGS
Langue: en
Version: 379417 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::BFGS -Broyden-Fletcher-Goldfarb-Shanno algorithm.
SYNOPSIS
#include <ql/math/optimization/bfgs.hpp>
Inherits QuantLib::LineSearchBasedMethod.
Public Member Functions
BFGS (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
Detailed Description
Broyden-Fletcher-Goldfarb-Shanno algorithm.
See <http://en.wikipedia.org/wiki/BFGS_method>.
Adapted from Numerical Recipes in C, 2nd edition.
User has to provide line-search method and optimization end criteria.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre