EndCriteria Class Reference

#include <ql/Optimization/criteria.hpp>

List of all members.


Detailed Description

Criteria to end optimization process.

  • stationary point
    • stationary gradient
    • maximum number of iterations ....


Public Types

enum  Type { none, maxIter, statPt, statGd }

Public Member Functions

 EndCriteria ()
 default constructor

 EndCriteria (Size maxIteration, Real epsilon)
 initialization constructor

void setPositiveOptimization ()
bool checkIterationNumber (Size iteration)
bool checkStationaryValue (Real fold, Real fnew)
bool checkAccuracyValue (Real f)
bool checkStationaryGradientNorm (Real normDiff)
bool checkAccuracyGradientNorm (Real norm)
bool operator() (Size iteration, Real fold, Real normgold, Real fnew, Real normgnew, Real)
 test if the number of iteration is not too big and if we don't

Type criteria () const
 return the end criteria type


Protected Attributes

Size maxIteration_
 Maximum number of iterations.

Real functionEpsilon_
 function and gradient epsilons

Real gradientEpsilon_
 function and gradient epsilons

Size maxIterStatPt_
 Maximun number of iterations in stationary state.

Size statState_
 Maximun number of iterations in stationary state.

Type endCriteria_
bool positiveOptimization_


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