QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
BFGS Class Reference

Broyden-Fletcher-Goldfarb-Shanno algorithm. More...

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

Inherits LineSearchBasedMethod.

Public Member Functions

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

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.