Problem Class Reference

#include <problem.hpp>

List of all members.


Detailed Description

Constrained optimization problem.


Public Member Functions

 Problem (CostFunction &f, Constraint &c, Method &meth)
 default constructor

double value (const Array &x) const
 call cost function computation and increment evaluation counter

void gradient (Array &grad_f, const Array &x) const
 call cost function gradient computation and increment

double valueAndGradient (Array &grad_f, const Array &x) const
 call cost function computation and it gradient

Methodmethod () const
 Constrained optimization method.

Constraintconstraint () const
 Constraint.

CostFunctioncostFunction () const
 Cost function.

void minimize () const
 Minimization.

ArrayminimumValue () const

Protected Attributes

CostFunctioncostFunction_
 Unconstrained cost function.

Constraintconstraint_
 Constraint.

Methodmethod_
 constrained optimization method


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

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