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< Array >	getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0
	computes the new search direction
Protected Attributes inherited from LineSearchBasedMethod
boost::shared_ptr< LineSearch >	lineSearch_
	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.