Constrained optimization problem. More...
#include <ql/math/optimization/problem.hpp>
Public Member Functions | |
| Problem (CostFunction &costFunction, Constraint &constraint, const Array &initialValue=Array()) | |
| default constructor | |
| void | reset () |
| Real | value (const Array &x) |
| call cost function computation and increment evaluation counter | |
| Disposable< Array > | values (const Array &x) |
| call cost values computation and increment evaluation counter | |
| void | gradient (Array &grad_f, const Array &x) |
| call cost function gradient computation and increment | |
| Real | valueAndGradient (Array &grad_f, const Array &x) |
| call cost function computation and it gradient | |
| Constraint & | constraint () const |
| Constraint. | |
| CostFunction & | costFunction () const |
| Cost function. | |
| void | setCurrentValue (const Array ¤tValue) |
| const Array & | currentValue () const |
| current value of the local minimum | |
| void | setFunctionValue (Real functionValue) |
| Real | functionValue () const |
| value of cost function | |
| void | setGradientNormValue (Real squaredNorm) |
| Real | gradientNormValue () const |
| value of cost function gradient norm | |
| Integer | functionEvaluation () const |
| number of evaluation of cost function | |
| Integer | gradientEvaluation () const |
| number of evaluation of cost function gradient | |
Protected Attributes | |
| CostFunction & | costFunction_ |
| Unconstrained cost function. | |
| Constraint & | constraint_ |
| Constraint. | |
| Array | currentValue_ |
| current value of the local minimum | |
| Real | functionValue_ |
| function and gradient norm values at the currentValue_ (i.e. the last step) | |
| Real | squaredNorm_ |
| Integer | functionEvaluation_ |
| number of evaluation of cost function and its gradient | |
| Integer | gradientEvaluation_ |
Constrained optimization problem.
| void reset | ( | ) |