QuantLib_ArmijoLineSearch

Langue: en

Autres versions - même langue

Version: 156861 (fedora - 05/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::ArmijoLineSearch - Armijo line search.

SYNOPSIS


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

Inherits QuantLib::LineSearch.

Public Member Functions


ArmijoLineSearch (Real eps=1e-8, Real alpha=0.05, Real beta=0.65)
Default constructor.
Real operator() (Problem &P, EndCriteria::Type &ecType, const EndCriteria &, const Real t_ini)
Perform line search.

Detailed Description

Armijo line search.

Let $ lpha $ and $ 2 scalars in $ [0,1] $. Let $ x $ be the current value of the unknown, $ d $ the search direction and $ t $ the step. Let $ f $ be the function to minimize. The line search stops when $ t $ verifies \ and \

(see Polak, Algorithms and consistent approximations, Optimization, volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, 1997)

Author

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