BFGS Class Reference

Broyden-Fletcher-Goldfarb-Shanno algorithm. More...

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

Inherits LineSearchBasedMethod.

Public Member Functions

 BFGS (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
 
- Public Member Functions inherited from LineSearchBasedMethod
 LineSearchBasedMethod (const boost::shared_ptr< LineSearch > &lSearch=boost::shared_ptr< LineSearch >())
 
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)
 
- Public Member Functions inherited from OptimizationMethod
virtual EndCriteria::Type minimize (Problem &P, const EndCriteria &endCriteria)=0
 minimize the optimization problem P
 

Additional Inherited Members

- Protected Member Functions inherited from LineSearchBasedMethod
virtual Disposable< ArraygetUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0
 computes the new search direction
 
- Protected Attributes inherited from LineSearchBasedMethod
boost::shared_ptr< LineSearchlineSearch_
 line search
 

Detailed Description

Broyden-Fletcher-Goldfarb-Shanno algorithm.

See http://en.wikipedia.org/wiki/BFGS_method.

Adapted from Numerical Recipes in C, 2nd edition.

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