Classes | |
| class | ConjugateGradient |
| Multi-dimensional Conjugate Gradient class. More... | |
| class | DifferentialEvolution |
| Differential Evolution configuration object. More... | |
| class | LevenbergMarquardt |
| Levenberg-Marquardt optimization method. More... | |
| class | Simplex |
| Multi-dimensional simplex class. More... | |
| class | SimulatedAnnealing< RNG > |
| Simulated Annealing. More... | |
The optimization framework (corresponding to the ql/Optimization directory) implements some multi-dimensional minimizing methods. The function to be minimized is to be derived from the QuantLib::CostFunction base class (if the gradient is not analytically implemented, it will be computed numerically).