QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
SteepestDescent Class Reference

Multi-dimensional steepest-descent class. More...

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

Inherits LineSearchBasedMethod.

Public Member Functions

 SteepestDescent (const boost::shared_ptr< LineSearch > &lineSearch=boost::shared_ptr< LineSearch >())
 

Detailed Description

Multi-dimensional steepest-descent class.

User has to provide line-search method and optimization end criteria

search direction \( = - f'(x) \)