Class BFGS

Broyden-Fletcher-Goldfarb-Shanno algorithm

See http://en.wikipedia.org/wiki/BFGS_method.

Adapted from Numerical Recipes in C, 2nd edition.

User has to provide line-search method and optimization end criteria.

Hierarchy

LineSearchBasedMethod
- BFGS

Index

Constructors

constructor

Properties

Accessors

isDisposed

Methods

Constructors

constructor

new BFGS(lineSearch?: LineSearch): BFGS

Overrides LineSearchBasedMethod.constructor
- Defined in ql/math/optimization/bfgs.ts:22
Parameters
- Default value lineSearch: LineSearch = null
Returns BFGS

Properties

Private _inverseHessian

_inverseHessian: Matrix = []

inverse of hessian matrix

Protected _lineSearch

_lineSearch: LineSearch

Accessors

isDisposed

get isDisposed(): boolean

Inherited from OptimizationMethod.isDisposed
- Defined in ql/math/optimization/method.ts:17
Returns boolean

Methods

dispose

dispose(): void

Inherited from OptimizationMethod.dispose
- Defined in ql/math/optimization/method.ts:21
Returns void

getUpdatedDirection

getUpdatedDirection(P: Problem, gold2: Real, oldGradient: Real[]): Real[]

Overrides LineSearchBasedMethod.getUpdatedDirection
- Defined in ql/math/optimization/bfgs.ts:27
Parameters
- P: Problem
- gold2: Real
- oldGradient: Real[]
Returns Real[]

minimize

minimize(P: Problem, endCriteria: EndCriteria): Type

Inherited from LineSearchBasedMethod.minimize

Overrides OptimizationMethod.minimize
- Defined in ql/math/optimization/linesearchbasedmethod.ts:25
Parameters
- P: Problem
- endCriteria: EndCriteria
Returns Type