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 >()) | |
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.