OptimizationMethod Class Reference

#include <ql/Optimization/method.hpp>

Inheritance diagram for OptimizationMethod:

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List of all members.

Detailed Description

Abstract class for constrained optimization method.


Public Member Functions

 OptimizationMethod (const EndCriteria &endCriteria, const Array &initialValue)
void setInitialValue (const Array &initialValue)
 Set initial value.
void setEndCriteria (const EndCriteria &endCriteria)
 Set optimization end criteria.
Integer & iterationNumber () const
 current iteration number
EndCriteriaendCriteria () const
 optimization end criteria
Integer & functionEvaluation () const
 number of evaluation of cost function
Integer & gradientEvaluation () const
 number of evaluation of cost function gradient
Real & functionValue () const
 value of cost function
Real & gradientNormValue () const
 value of cost function gradient norm
Arrayx () const
 current value of the local minimum
ArraysearchDirection () const
 current value of the search direction
virtual void minimize (const Problem &P) const=0
 minimize the optimization problem P

Protected Attributes

Integer iterationNumber_
 current iteration step in the Optimization process
Integer functionEvaluation_
 number of evaluation of cost function and its gradient
Integer gradientEvaluation_
Real functionValue_
 function and gradient norm values of the last step
Real squaredNorm_
EndCriteria endCriteria_
 optimization end criteria
Array initialValue_
 initial value of unknowns
Array x_
 current values of the local minimum and the search direction
Array searchDirection_