(no subject)

[jahknox]

Hello everybody,

I am trying to guess the meaning of the variable

bool positiveOptimization_;

declared inside the class

class EndCriteria

(see the file ql\optimization\criteria.hpp

Can somebody help me ?

Thanks a lot

Gianni

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[Kris .]

Looks to me like a flag that they set once convergence happens..

I didn't know quantlib had SA / Gradient schemes in there...

Quantlib rulez.

cheers
Krishna


----- Original Message -----
From: [hidden email]
Date: Wed, 2 Apr 2003 11:20:37 +0200
To: [hidden email]
Subject: [Quantlib-users] (no subject)

> Hello everybody,
>
> I am trying to guess the meaning of the variable
>
> bool positiveOptimization_;
>
> declared inside the class
>
> class EndCriteria
>
> (see the file ql\optimization\criteria.hpp
>
> Can somebody help me ?
>
> Thanks a lot
>
> Gianni
>
> __________________________________________________________________
> Tiscali ADSL, fino a 9 MESI GRATIS sull'offerta Tiscali ADSL Light Mega!
> Tiscali ADSL non teme confronti! Abbonati subito.
> http://point.tiscali.it/adsl/index.shtml
>
>
>
>
>
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... [show rest of quote]

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[Nicolas Di Césaré]

Le mer 02/04/2003 à 11:20, [hidden email] a écrit :

> Hello everybody,
>
> I am trying to guess the meaning of the variable
>
> bool positiveOptimization_;
>
> declared inside the class
>
> class EndCriteria
>
> (see the file ql\optimization\criteria.hpp
>
> Can somebody help me ?
>

Hi Gianni,

The flag is used for least square problem. The function is positive and
the minimum value is zero. For general minimization problem the minimum
value of the function is probably different.

Thus, for a least square problem, we check that f(x) < epsilon
(minimum). For a general minimization problem, we check that abs(
f(x_new)-f(x_old) ) < epsilon (local minimum or stationary point).




--
Nicolas Di Césaré <[hidden email]>