QuantLib: ql/math/optimization Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

optimization Directory Reference

## Files
file | armijo.hpp
| Armijo line-search class.
file | bfgs.hpp
| Broyden-Fletcher-Goldfarb-Shanno optimization method.
file | conjugategradient.hpp
| Conjugate gradient optimization method.
file | constraint.hpp
| Abstract constraint class.
file | costfunction.hpp
| Optimization cost function class.
file | differentialevolution.hpp
| Differential Evolution optimization method.
file | endcriteria.hpp
| Optimization criteria class.
file | goldstein.hpp
| Goldstein and Price line-search class.
file | leastsquare.hpp
| Least square cost function.
file | levenbergmarquardt.hpp
| Levenberg-Marquardt optimization method.
file | linesearch.hpp
| Line search abstract class.
file | linesearchbasedmethod.hpp
| Abstract optimization method class.
file | lmdif.hpp
| wrapper for MINPACK minimization routine
file | method.hpp
| Abstract optimization method class.
file | problem.hpp
| Abstract optimization problem class.
file | projectedconstraint.hpp
| Projected constraint.
file | projectedcostfunction.hpp
| Cost function utility.
file | projection.hpp
| Parameter projection.
file | simplex.hpp
| Simplex optimization method.
file | simulatedannealing.hpp
| Numerical Recipes in C (second edition), Chapter 10.9, with the original exit criterion in f(x) replaced by one in x (see simplex.cpp for a reference to GSL concerning this)
file | spherecylinder.hpp
| Find closest point of the intersection of a sphere and cylinder to a given point.
file | steepestdescent.hpp
| Steepest descent optimization method.