Problem Class Reference

Constrained optimization problem. More...

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

Public Member Functions
	Problem (CostFunction &costFunction, Constraint &constraint, Array initialValue=Array())
	default constructor
void	reset ()
Real	value (const Array &x)
	call cost function computation and increment evaluation counter
Array	values (const Array &x)
	call cost values computation and increment evaluation counter
void	gradient (Array &grad_f, const Array &x)
	call cost function gradient computation and increment
Real	valueAndGradient (Array &grad_f, const Array &x)
	call cost function computation and it gradient
Constraint &	constraint () const
	Constraint.
CostFunction &	costFunction () const
	Cost function.
void	setCurrentValue (Array currentValue)
const Array &	currentValue () const
	current value of the local minimum
void	setFunctionValue (Real functionValue)
Real	functionValue () const
	value of cost function
void	setGradientNormValue (Real squaredNorm)
Real	gradientNormValue () const
	value of cost function gradient norm
Integer	functionEvaluation () const
	number of evaluation of cost function
Integer	gradientEvaluation () const
	number of evaluation of cost function gradient

Protected Attributes
CostFunction &	costFunction_
	Unconstrained cost function.
Constraint &	constraint_
	Constraint.
Array	currentValue_
	current value of the local minimum
Real	functionValue_
	function and gradient norm values at the currentValue_ (i.e. the last step)
Real	squaredNorm_
Integer	functionEvaluation_
	number of evaluation of cost function and its gradient
Integer	gradientEvaluation_

Detailed Description

Constrained optimization problem.

Warning

The passed CostFunction and Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.

Examples

GlobalOptimizer.cpp.

Member Function Documentation

reset()

void reset

(

)

Warning

it does not reset the current minumum to any initial value