QuantLib_SteepestDescent

Langue: en

Autres versions - même langue

Version: 380575 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

QuantLib::SteepestDescent -

Multi-dimensional steepest-descent class.

SYNOPSIS


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

Inherits QuantLib::LineSearchBasedMethod.

Public Member Functions


SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())

Detailed Description

Multi-dimensional steepest-descent class.

User has to provide line-search method and optimization end criteria

search direction $ = - f'(x) $

Author

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