QuantLib 0.3.6 http://quantlib.org User manual Introduction to QuantLib Introduction Project overview Where to get QuantLib Installation Usage Version history Additional resources The QuantLib group Copyright and license QuantLib components Core classes Date and time calculations Lattice methods The finite differences framework The Monte Carlo framework Short-rate models Currencies and FX rates Instruments and pricers Math tools Design patterns Term structures Utilities Examples Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Deprecated Features

Problem Class Reference #include <ql/Optimization/problem.hpp> List of all members. Detailed Description Constrained optimization problem. Public Member Functions   Problem (CostFunction &f, Constraint &c, OptimizationMethod &meth)   default constructor double  value (const Array &x) const   call cost function computation and increment evaluation counter void  gradient (Array &grad_f, const Array &x) const   call cost function gradient computation and increment double  valueAndGradient (Array &grad_f, const Array &x) const   call cost function computation and it gradient OptimizationMethod &  method () const   Constrained optimization method. Constraint &  constraint () const   Constraint. CostFunction &  costFunction () const   Cost function. void  minimize () const   Minimization. Array &  minimumValue () const Protected Attributes CostFunction &  costFunction_   Unconstrained cost function. Constraint &  constraint_   Constraint. OptimizationMethod &  method_   constrained optimization method

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