src/optimization/SteepestDescent.cpp

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

/*
 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
 Copyright (C) 2009 Frédéric Degraeve

 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/license.shtml>.

 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.
*/

#include "optimization/SteepestDescent.hpp"
#include "optimization/Problem.hpp"
#include "optimization/LineSearch.hpp"

namespace QuantLib {
    
    DynamicVector<RealType> SteepestDescent::getUpdatedDirection(const Problem&,
                                                                 RealType,
                                                                 const DynamicVector<RealType>&) {
        return -lineSearch_->lastGradient();
    }
    
}
Revision:	1741
Committed:	Tue Jun 5 18:02:44 2012 UTC (12 years, 10 months ago) by gezelter
File size:	1313 byte(s)
Log Message:	Adding initial import of optimization library
#	User	Rev	Content
1	gezelter	1741	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3			/*
4			Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
5			Copyright (C) 2009 Frédéric Degraeve
6
7			This file is part of QuantLib, a free-software/open-source library
8			for financial quantitative analysts and developers - http://quantlib.org/
9
10			QuantLib is free software: you can redistribute it and/or modify it
11			under the terms of the QuantLib license. You should have received a
12			copy of the license along with this program; if not, please email
13			<quantlib-dev@lists.sf.net>. The license is also available online at
14			<http://quantlib.org/license.shtml>.
15
16			This program is distributed in the hope that it will be useful, but WITHOUT
17			ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
18			FOR A PARTICULAR PURPOSE. See the license for more details.
19			*/
20
21			#include "optimization/SteepestDescent.hpp"
22			#include "optimization/Problem.hpp"
23			#include "optimization/LineSearch.hpp"
24
25			namespace QuantLib {
26
27			DynamicVector<RealType> SteepestDescent::getUpdatedDirection(const Problem&,
28			RealType,
29			const DynamicVector<RealType>&) {
30			return -lineSearch_->lastGradient();
31			}
32
33			}