/usr/include/ql/math/optimization/goldstein.hpp is in libquantlib0-dev 1.7.1-1.
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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 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2015 Cheng Li
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 goldstein.hpp
\brief Goldstein and Price line-search class
*/
#ifndef quantlib_optimization_goldstein_hpp
#define quantlib_optimization_goldstein_hpp
#include <ql/math/optimization/linesearch.hpp>
namespace QuantLib {
class GoldsteinLineSearch : public LineSearch {
public:
//! Default constructor
GoldsteinLineSearch(Real eps = 1e-8,
Real alpha = 0.05,
Real beta = 0.65,
Real extrapolation = 1.5)
: LineSearch(eps), alpha_(alpha), beta_(beta), extrapolation_(extrapolation) {}
//! Perform line search
Real operator()(Problem& P, // Optimization problem
EndCriteria::Type& ecType,
const EndCriteria&,
const Real t_ini); // initial value of line-search step
private:
Real alpha_, beta_;
Real extrapolation_;
};
}
#endif
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