QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
BFGS Class Reference

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

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

+ Inheritance diagram for BFGS:

Public Member Functions

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

Additional Inherited Members

- Protected Attributes inherited from LineSearchBasedMethod
ext::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.