/usr/include/ql/math/optimization/bfgs.hpp is in libquantlib0-dev 1.7.1-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2009 Frédéric Degraeve
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file bfgs.hpp
\brief Broyden-Fletcher-Goldfarb-Shanno optimization method
*/
#ifndef quantlib_optimization_bfgs_hpp
#define quantlib_optimization_bfgs_hpp
#include <ql/math/optimization/linesearchbasedmethod.hpp>
#include <ql/math/matrix.hpp>
namespace QuantLib {
//! Broyden-Fletcher-Goldfarb-Shanno algorithm
/*! See <http://en.wikipedia.org/wiki/BFGS_method>.
Adapted from Numerical Recipes in C, 2nd edition.
User has to provide line-search method and optimization end criteria.
*/
class BFGS: public LineSearchBasedMethod {
public:
BFGS(const boost::shared_ptr<LineSearch>& lineSearch =
boost::shared_ptr<LineSearch>())
: LineSearchBasedMethod(lineSearch) {}
private:
//! \name LineSearchBasedMethod interface
//@{
Disposable<Array> getUpdatedDirection(const Problem &P,
Real gold2,
const Array& oldGradient);
//@}
//! inverse of hessian matrix
Matrix inverseHessian_;
};
}
#endif
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