| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
|---|---|
| 2 | |
| 3 | /* |
| 4 | Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
| 5 | Copyright (C) 2007 Ferdinando Ametrano |
| 6 | Copyright (C) 2007 Marco Bianchetti |
| 7 | Copyright (C) 2007 François du Vignaud |
| 8 | Copyright (C) 2009 Frédéric Degraeve |
| 9 | |
| 10 | This file is part of QuantLib, a free-software/open-source library |
| 11 | for financial quantitative analysts and developers - http://quantlib.org/ |
| 12 | |
| 13 | QuantLib is free software: you can redistribute it and/or modify it |
| 14 | under the terms of the QuantLib license. You should have received a |
| 15 | copy of the license along with this program; if not, please email |
| 16 | <quantlib-dev@lists.sf.net>. The license is also available online at |
| 17 | <http://quantlib.org/license.shtml>. |
| 18 | |
| 19 | This program is distributed in the hope that it will be useful, but WITHOUT |
| 20 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
| 21 | FOR A PARTICULAR PURPOSE. See the license for more details. |
| 22 | */ |
| 23 | |
| 24 | #include <ql/math/optimization/conjugategradient.hpp> |
| 25 | #include <ql/math/optimization/problem.hpp> |
| 26 | #include <ql/math/optimization/linesearch.hpp> |
| 27 | |
| 28 | namespace QuantLib { |
| 29 | |
| 30 | Array ConjugateGradient::getUpdatedDirection(const Problem& P, |
| 31 | Real gold2, |
| 32 | const Array&) { |
| 33 | return -lineSearch_->lastGradient() + |
| 34 | (P.gradientNormValue() / gold2) * lineSearch_->searchDirection(); |
| 35 | } |
| 36 | |
| 37 | } |
| 38 |