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steepestdescent.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/reference/license.html>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file steepestdescent.hpp
    \brief Steepest descent optimization method
*/

#ifndef quantlib_optimization_steepest_descent_h
#define quantlib_optimization_steepest_descent_h

#include <ql/Optimization/armijo.hpp>

namespace QuantLib {

    //! Multi-dimensional steepest-descent class
    /*! User has to provide line-search method and optimization end criteria

        search direction \f$ = - f'(x) \f$
    */
00036     class SteepestDescent : public OptimizationMethod {
      public:
        //! default default constructor (msvc bug)
00039         SteepestDescent()
        : lineSearch_(boost::shared_ptr<LineSearch>(new ArmijoLineSearch())) {}

        //! default constructor
00043         SteepestDescent(const boost::shared_ptr<LineSearch>& lineSearch)
        : lineSearch_(lineSearch) {}
        //! destructor
00046         virtual ~SteepestDescent() {}

        //! minimize the optimization problem P
        virtual void minimize(const Problem& P) const;
      private:
        //! line search
00052         boost::shared_ptr<LineSearch> lineSearch_;
    };

}


#endif

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