ConjugateGradient Class Reference

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

List of all members.


Detailed Description

Multi-dimensional Conjugate Gradient class.

User has to provide line-search method and optimization end criteria. Search direction $ d_i = - f'(x_i) + c_i*d_{i-1} $ where $ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 $ and $ d_1 = - f'(x_1) $


Public Member Functions

 ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
 solve the optimization problem P