BFGS Class Reference

Broyden-Fletcher-Goldfarb-Shanno algorithm. More...

#include <ql/math/optimization/bfgs.hpp>

Inheritance diagram for BFGS:

Public Member Functions
	BFGS (const ext::shared_ptr< LineSearch > &lineSearch=ext::shared_ptr< LineSearch >())
Public Member Functions inherited from LineSearchBasedMethod
	LineSearchBasedMethod (ext::shared_ptr< LineSearch > lSearch=ext::shared_ptr< LineSearch >())
EndCriteria::Type	minimize (Problem &P, const EndCriteria &endCriteria) override
	minimize the optimization problem P

Additional Inherited Members
Protected Attributes inherited from LineSearchBasedMethod
ext::shared_ptr< LineSearch >	lineSearch_
	line search

Detailed Description

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.