SimulatedAnnealing< RNG > Class Template Reference

Simulated Annealing. More...

#include <simulatedannealing.hpp>

Inheritance diagram for SimulatedAnnealing< RNG >:

Collaboration diagram for SimulatedAnnealing< RNG >:

Public Types
enum	Scheme { ConstantFactor , ConstantBudget }

Public Member Functions
	SimulatedAnnealing (const Real lambda, const Real T0, const Real epsilon, const Size m, const RNG &rng=RNG())
	SimulatedAnnealing (const Real lambda, const Real T0, const Size K, const Real alpha, const RNG &rng=RNG())
EndCriteria::Type	minimize (Problem &P, const EndCriteria &ec) 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...

Private Member Functions
Real	simplexSize ()
void	amotsa (Problem &, Real)

Private Attributes
const Scheme	scheme_
const Real	lambda_
const Real	T0_
const Real	epsilon_
const Real	alpha_
const Size	K_
const RNG	rng_
Real	T_
std::vector< Array >	vertices_
Array	values_
Array	sum_
Integer	i_
Integer	ihi_
Integer	ilo_
Integer	j_
Integer	m_
Integer	n_
Real	fac1_
Real	fac2_
Real	yflu_
Real	rtol_
Real	swap_
Real	yhi_
Real	ylo_
Real	ynhi_
Real	ysave_
Real	yt_
Real	ytry_
Real	yb_
Real	tt_
Array	pb_
Array	ptry_
Size	iteration_
Size	iterationT_

Detailed Description

template<class RNG = MersenneTwisterUniformRng>
class QuantLib::SimulatedAnnealing< RNG >

Simulated Annealing.

Class RNG must implement the following interface:

RNG::sample_type RNG::next() const;

Examples

GlobalOptimizer.cpp.

Definition at line 46 of file simulatedannealing.hpp.

Member Enumeration Documentation

Scheme

enum Scheme

Enumerator
ConstantFactor
ConstantBudget

Definition at line 50 of file simulatedannealing.hpp.

Constructor & Destructor Documentation

SimulatedAnnealing() [1/2]

SimulatedAnnealing	(	const Real	lambda,
		const Real	T0,
		const Real	epsilon,
		const Size	m,
		const RNG &	rng = RNG()
	)

reduce temperature T by a factor of \( (1-\epsilon) \) after m moves

Definition at line 56 of file simulatedannealing.hpp.

SimulatedAnnealing() [2/2]

SimulatedAnnealing	(	const Real	lambda,
		const Real	T0,
		const Size	K,
		const Real	alpha,
		const RNG &	rng = RNG()
	)

budget a total of K moves, set temperature T to the initial temperature times \( ( 1 - k/K )^\alpha \) with k being the total number of moves so far. After K moves the temperature is guaranteed to be zero, after that the optimization runs like a deterministic simplex algorithm.

Definition at line 68 of file simulatedannealing.hpp.

Member Function Documentation

minimize()

EndCriteria::Type minimize ( Problem &  P, const EndCriteria &  endCriteria  )

overridevirtual

minimize the optimization problem P

Implements OptimizationMethod.

Definition at line 141 of file simulatedannealing.hpp.

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simplexSize()

Real simplexSize

private

Definition at line 96 of file simulatedannealing.hpp.

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amotsa()

void amotsa ( Problem &  P, Real  fac  )

private

Definition at line 111 of file simulatedannealing.hpp.

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Member Data Documentation

scheme_

const Scheme scheme_

private

Definition at line 77 of file simulatedannealing.hpp.

lambda_

const Real lambda_

private

Definition at line 78 of file simulatedannealing.hpp.

T0_

const Real T0_

private

Definition at line 78 of file simulatedannealing.hpp.

epsilon_

const Real epsilon_

private

Definition at line 78 of file simulatedannealing.hpp.

alpha_

const Real alpha_

private

Definition at line 78 of file simulatedannealing.hpp.

K_

const Size K_

private

Definition at line 79 of file simulatedannealing.hpp.

rng_

const RNG rng_

private

Definition at line 80 of file simulatedannealing.hpp.

T_

Real T_

private

Definition at line 85 of file simulatedannealing.hpp.

vertices_

std::vector<Array> vertices_

private

Definition at line 86 of file simulatedannealing.hpp.

values_

Array values_

private

Definition at line 87 of file simulatedannealing.hpp.

sum_

Array sum_

private

Definition at line 87 of file simulatedannealing.hpp.

i_

Integer i_

private

Definition at line 88 of file simulatedannealing.hpp.

ihi_

Integer ihi_

private

Definition at line 88 of file simulatedannealing.hpp.

ilo_

Integer ilo_

private

Definition at line 88 of file simulatedannealing.hpp.

j_

Integer j_

private

Definition at line 88 of file simulatedannealing.hpp.

m_

Integer m_

private

Definition at line 88 of file simulatedannealing.hpp.

n_

Integer n_

private

Definition at line 88 of file simulatedannealing.hpp.

fac1_

Real fac1_

private

Definition at line 89 of file simulatedannealing.hpp.

fac2_

Real fac2_

private

Definition at line 89 of file simulatedannealing.hpp.

yflu_

Real yflu_

private

Definition at line 89 of file simulatedannealing.hpp.

rtol_

Real rtol_

private

Definition at line 90 of file simulatedannealing.hpp.

swap_

Real swap_

private

Definition at line 90 of file simulatedannealing.hpp.

yhi_

Real yhi_

private

Definition at line 90 of file simulatedannealing.hpp.

ylo_

Real ylo_

private

Definition at line 90 of file simulatedannealing.hpp.

ynhi_

Real ynhi_

private

Definition at line 90 of file simulatedannealing.hpp.

ysave_

Real ysave_

private

Definition at line 90 of file simulatedannealing.hpp.

yt_

Real yt_

private

Definition at line 90 of file simulatedannealing.hpp.

ytry_

Real ytry_

private

Definition at line 90 of file simulatedannealing.hpp.

yb_

Real yb_

private

Definition at line 90 of file simulatedannealing.hpp.

tt_

Real tt_

private

Definition at line 90 of file simulatedannealing.hpp.

pb_

Array pb_

private

Definition at line 91 of file simulatedannealing.hpp.

ptry_

Array ptry_

private

Definition at line 91 of file simulatedannealing.hpp.

iteration_

Size iteration_

private

Definition at line 92 of file simulatedannealing.hpp.

iterationT_

Size iterationT_

private

Definition at line 92 of file simulatedannealing.hpp.