Broyden-Fletcher-Goldfarb-Shanno algorithm. More...
#include <ql/math/optimization/bfgs.hpp>
Public Member Functions | |
BFGS (const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >()) | |
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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 | |
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ext::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.