QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Classes | Enumerations
Optimizers

Classes

class  ConjugateGradient
 Multi-dimensional Conjugate Gradient class. More...
 
class  DifferentialEvolution
 Differential Evolution configuration object. More...
 
class  LevenbergMarquardt
 Levenberg-Marquardt optimization method. More...
 
class  Simplex
 Multi-dimensional simplex class. More...
 
class  SimulatedAnnealing< RNG >
 

Enumerations

enum  Strategy {
  Rand1Standard, BestMemberWithJitter, CurrentToBest2Diffs, Rand1DiffWithPerVectorDither,
  Rand1DiffWithDither, EitherOrWithOptimalRecombination, Rand1SelfadaptiveWithRotation
}
 
enum  CrossoverType { Normal, Binomial, Exponential }
 
enum  Scheme { ConstantFactor, ConstantBudget }
 

Detailed Description

The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).