SteepestDescent Class Reference

Multi-dimensional steepest-descent class. More...

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

Inherits QuantLib::LineSearchBasedMethod.

List of all members.

Public Member Functions

 SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
Disposable< ArraygetUpdatedDirection (Problem &P, Real fold, Real gold2, const Array &oldGradient)
 computes the new search direction


Detailed Description

Multi-dimensional steepest-descent class.

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

search direction $ = - f'(x) $