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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.38
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Files | |
| file | armijo.cpp [code] |
| file | armijo.hpp [code] |
| Armijo line-search class. | |
| file | bfgs.cpp [code] |
| file | bfgs.hpp [code] |
| Broyden-Fletcher-Goldfarb-Shanno optimization method. | |
| file | conjugategradient.cpp [code] |
| file | conjugategradient.hpp [code] |
| Conjugate gradient optimization method. | |
| file | constraint.cpp [code] |
| file | constraint.hpp [code] |
| Abstract constraint class. | |
| file | costfunction.hpp [code] |
| Optimization cost function class. | |
| file | differentialevolution.cpp [code] |
| file | differentialevolution.hpp [code] |
| Differential Evolution optimization method. | |
| file | endcriteria.cpp [code] |
| file | endcriteria.hpp [code] |
| Optimization criteria class. | |
| file | goldstein.cpp [code] |
| file | goldstein.hpp [code] |
| Goldstein and Price line-search class. | |
| file | leastsquare.cpp [code] |
| file | leastsquare.hpp [code] |
| Least square cost function. | |
| file | levenbergmarquardt.cpp [code] |
| file | levenbergmarquardt.hpp [code] |
| Levenberg-Marquardt optimization method. | |
| file | linesearch.cpp [code] |
| file | linesearch.hpp [code] |
| Line search abstract class. | |
| file | linesearchbasedmethod.cpp [code] |
| file | linesearchbasedmethod.hpp [code] |
| Abstract optimization method class. | |
| file | lmdif.cpp [code] |
| file | lmdif.hpp [code] |
| wrapper for MINPACK minimization routine | |
| file | method.hpp [code] |
| Abstract optimization method class. | |
| file | problem.hpp [code] |
| Abstract optimization problem class. | |
| file | projectedconstraint.hpp [code] |
| Projected constraint. | |
| file | projectedcostfunction.cpp [code] |
| file | projectedcostfunction.hpp [code] |
| Cost function utility. | |
| file | projection.cpp [code] |
| file | projection.hpp [code] |
| Parameter projection. | |
| file | simplex.cpp [code] |
| file | simplex.hpp [code] |
| Simplex optimization method. | |
| file | simulatedannealing.hpp [code] |
| 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.cpp [code] |
| file | spherecylinder.hpp [code] |
| Find closest point of the intersection of a sphere and cylinder to a given point. | |
| file | steepestdescent.cpp [code] |
| file | steepestdescent.hpp [code] |
| Steepest descent optimization method. | |