ConjugateGradient Class Reference

#include <ql/Optimization/conjugategradient.hpp>

Inheritance diagram for ConjugateGradient:

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Detailed Description

Multi-dimensional Conjugate Gradient class.

User has to provide line-search method and optimization end criteria

search direction $ d_i = - f'(x_i) + c_i*d_{i-1} $ where $ c_i = ||f'(x_i)||^2/||f'(x_{i-1})||^2 $ and $ d_1 = - f'(x_1) $


Public Member Functions

 ConjugateGradient ()
 default constructor

 ConjugateGradient (const boost::shared_ptr< LineSearch > &lineSearch)
virtual ~ConjugateGradient ()
 destructor

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


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