QuantLib 0.3.7
http://quantlib.org
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Problem Class Reference
#include <ql/Optimization/problem.hpp>
List of all members.
Detailed Description
Constrained optimization problem.
Public Member Functions
Problem
(
CostFunction
&f,
Constraint
&c,
OptimizationMethod
&meth)
default constructor
Real
value
(const
Array
&x) const
call cost function computation and increment evaluation counter
void
gradient
(
Array
&grad_f, const
Array
&x) const
call cost function gradient computation and increment
Real
valueAndGradient
(
Array
&grad_f, const
Array
&x) const
call cost function computation and it gradient
OptimizationMethod
&
method
() const
Constrained optimization method.
Constraint
&
constraint
() const
Constraint
.
CostFunction
&
costFunction
() const
Cost function.
void
minimize
() const
Minimization.
Array
&
minimumValue
() const
Protected Attributes
CostFunction
&
costFunction_
Unconstrained cost function.
Constraint
&
constraint_
Constraint
.
OptimizationMethod
&
method_
constrained optimization method
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