QuantLib_BFGS

Langue: en

Version: 379417 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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

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