/usr/include/ql/math/optimization/simplex.hpp is in libquantlib0-dev 1.4-2.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
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.
*/
/*! \file simplex.hpp
\brief Simplex optimization method
*/
/* The implementation of the algorithm was inspired by
* "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery
* Chapter 10
*/
#ifndef quantlib_optimization_simplex_hpp
#define quantlib_optimization_simplex_hpp
#include <ql/math/optimization/problem.hpp>
#include <vector>
namespace QuantLib {
//! Multi-dimensional simplex class
class Simplex : public OptimizationMethod {
public:
/*! Constructor taking as input the characteristic length */
Simplex(Real lambda) : lambda_(lambda) {}
virtual EndCriteria::Type minimize(Problem& P,
const EndCriteria& endCriteria);
private:
Real extrapolate(Problem& P,
Size iHighest,
Real& factor) const;
Real lambda_;
mutable std::vector<Array> vertices_;
mutable Array values_, sum_;
};
}
#endif
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