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ConjugateGradient Class Template Reference

#include <cg.h>

Inheritance diagram for ConjugateGradient::

List of all members.

Public Methods
	ConjugateGradient ()
	default constructor.
	ConjugateGradient (QuantLib::Handle< LineSearch< V > > &lineSearch)
	default constructor.
virtual	~ConjugateGradient ()
	destructor.
virtual void	Minimize (OptimizationProblem< V > &P)
	minimize the optimization problem P.
Private Attributes
QuantLib::Handle< LineSearch< V > >	lineSearch_
	line search.

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Detailed Description

template<class V>
class ConjugateGradient< V >

Multi-dimensionnal 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)

Definition at line 40 of file cg.h.

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The documentation for this class was generated from the following file:

• cg.h

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