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 >()) | |
![]() | |
LineSearchBasedMethod (const boost::shared_ptr< LineSearch > &lSearch=boost::shared_ptr< LineSearch >()) | |
virtual EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria) |
![]() | |
virtual EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria)=0 |
minimize the optimization problem P | |
Additional Inherited Members | |
![]() | |
virtual Disposable< Array > | getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0 |
computes the new search direction | |
![]() | |
boost::shared_ptr< LineSearch > | lineSearch_ |
line search | |
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.