LineSearch Class Reference

#include <linesearch.hpp>

Inheritance diagram for LineSearch:

Inheritance graph
[legend]
List of all members.

Detailed Description

Base class for line search.


Public Member Functions

 LineSearch (double eps=1e-8)
 Default constructor.

virtual ~LineSearch ()
 Destructor.

const ArraylastX ()
 return last x value

double lastFunctionValue ()
 return last cost function value

const ArraylastGradient ()
 return last gradient

double lastGradientNorm2 ()
 return square norm of last gradient

bool succeed ()
virtual double operator() (const Problem &P, double t_ini)=0
 Perform line search.

double update (Array &params, const Array &direction, double beta, const Constraint &constraint)

Protected Attributes

Array xtd_
 new x and its gradient

Array gradient_
 new x and its gradient

double qt_
 cost function value and gradient norm corresponding to xtd_

double qpt_
 cost function value and gradient norm corresponding to xtd_

bool succeed_
 flag to know if linesearch succeed


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

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen