ConjugateGradient Class Reference
Multi-dimensional Conjugate Gradient class. More...
#include <ql/math/optimization/conjugategradient.hpp>
Inherits QuantLib::LineSearchBasedMethod.
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 |
Detailed Description
Multi-dimensional Conjugate Gradient class.Fletcher-Reeves-Polak-Ribiere algorithm adapted from Numerical Recipes in C, 2nd edition.
User has to provide line-search method and optimization end criteria. Search direction where
and