Broyden-Fletcher-Goldfarb-Shanno algorithm. More...
#include <bfgs.hpp>
Inheritance diagram for BFGS:
Collaboration 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 >()) | |
| ~LineSearchBasedMethod () override=default | |
| EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria) override |
| minimize the optimization problem P More... | |
| Public Member Functions inherited from OptimizationMethod | |
| virtual | ~OptimizationMethod ()=default |
| virtual EndCriteria::Type | minimize (Problem &P, const EndCriteria &endCriteria)=0 |
| minimize the optimization problem P More... | |
LineSearchBasedMethod interface | |
| Matrix | inverseHessian_ |
| inverse of hessian matrix More... | |
| Array | getUpdatedDirection (const Problem &P, Real gold2, const Array &oldGradient) override |
| computes the new search direction More... | |
Additional Inherited Members | |
| virtual Array | getUpdatedDirection (const Problem &P, Real gold2, const Array &gradient)=0 |
| computes the new search direction More... | |
| Protected Attributes inherited from LineSearchBasedMethod | |
| ext::shared_ptr< LineSearch > | lineSearch_ |
| line search More... | |
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.
Constructor & Destructor Documentation
◆ BFGS()
| BFGS | ( | const ext::shared_ptr< LineSearch > & | lineSearch = ext::shared_ptr<LineSearch>() | ) |
Member Function Documentation
◆ getUpdatedDirection()
|
overrideprivatevirtual |
computes the new search direction
Implements LineSearchBasedMethod.
Definition at line 26 of file bfgs.cpp.
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