OptimizationMethod Class Reference

#include <ql/Optimization/method.hpp>

Inheritance diagram for OptimizationMethod:

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List of all members.

Detailed Description

Abstract class for constrained optimization method.


Public Member Functions

void setInitialValue (const Array &initialValue)
 Set initial value.

void setEndCriteria (const EndCriteria &endCriteria)
 Set optimization end criteria.

IntegeriterationNumber () const
 current iteration number

EndCriteriaendCriteria () const
 optimization end criteria

IntegerfunctionEvaluation () const
 number of evaluation of cost function

IntegergradientEvaluation () const
 number of evaluation of cost function gradient

RealfunctionValue () const
 value of cost function

RealgradientNormValue () const
 value of cost function gradient norm

Arrayx () const
 current value of the local minimum

ArraysearchDirection () const
 current value of the search direction

virtual void minimize (const Problem &P) const =0
 minimize the optimization problem P


Protected Attributes

Array initialValue_
 initial value of unknowns

Integer iterationNumber_
 current iteration step in the Optimization process

EndCriteria endCriteria_
 optimization end criteria

Integer functionEvaluation_
 number of evaluation of cost function and its gradient

Integer gradientEvaluation_
 number of evaluation of cost function and its gradient

Real functionValue_
 function and gradient norm values of the last step

Real squaredNorm_
 function and gradient norm values of the last step

Array x_
 current values of the local minimum and the search direction

Array searchDirection_
 current values of the local minimum and the search direction


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