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ArmijoLineSearch Class Reference#include <ql/Optimization/armijo.hpp>
Inheritance diagram for ArmijoLineSearch: ![]() Detailed DescriptionArmijo line search.Let alpha and beta be 2 scalars in [0,1]. Let x be the current value of the unknow, d the search direction and t the step. Let f be the function to minimize. The line search stop when t verifies f(x+t*d) - f(x) <= -alpha*t*f'(x+t*d) and f(x+t/beta*d) - f(x) > -alpha*t*f'(x+t*d)/beta (see Polak. Algorithms and consitent approximations, Optimization, volume 124 of Applied Mathematical Sciences. Springer-Arrayerlag, N-Y, 1997)
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