Optimization

Overview

functions to construct and use Optimization objects.

Function List

qlArmijoLineSearch ()
qlConjugateGradient ()
qlEndCriteria ()
qlEndCriteriaFunctionEpsilon ()
qlEndCriteriaGradientNormEpsilon ()
qlEndCriteriaMaxIterations ()
qlEndCriteriaMaxStationaryStateIterations ()
qlLevenbergMarquardt ()
qlNoConstraint ()
qlSecondsToString ()
qlSimplex ()
qlSphereCylinderOptimizerClosest ()
qlSteepestDescent ()

Function Documentation

qlArmijoLineSearch

string returnValue
 
qlArmijoLineSearch(
        string ObjectId
        double Epsilon
        double Alpha
        double Beta
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ArmijoLineSearch and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Epsilon	epsilon. Default value = 1e-8.
Alpha	alpha. Default value = 0.05.
Beta	beta. Default value = 0.65.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlConjugateGradient

string returnValue
 
qlConjugateGradient(
        string ObjectId
        string LineSearch
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class ConjugateGradient and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
LineSearch	LineSearch object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEndCriteria

string returnValue
 
qlEndCriteria(
        string ObjectId
        long MaxIterations
        long MaxStationaryStateIterations
        double RootEpsilon
        double FunctionEpsilon
        double GradientNormEpsilon
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class EndCriteria and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
MaxIterations	max number of iterations.
MaxStationaryStateIterations	max number of iterations in a stationary state.
RootEpsilon	tolerance on the root value.
FunctionEpsilon	tolerance on the function value.
GradientNormEpsilon	tolerance on the function gradient norm value.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlEndCriteriaFunctionEpsilon

double returnValue
 
qlEndCriteriaFunctionEpsilon(
        string ObjectId
        any Trigger)

Description:

Returns the function epsilon for the given EndCriteria object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::EndCriteria object
Trigger	dependency tracking trigger

qlEndCriteriaGradientNormEpsilon

double returnValue
 
qlEndCriteriaGradientNormEpsilon(
        string ObjectId
        any Trigger)

Description:

Returns the gradient norm epsilon for the given EndCriteria object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::EndCriteria object
Trigger	dependency tracking trigger

qlEndCriteriaMaxIterations

long returnValue
 
qlEndCriteriaMaxIterations(
        string ObjectId
        any Trigger)

Description:

Returns the number of max interation for the given EndCriteria object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::EndCriteria object
Trigger	dependency tracking trigger

qlEndCriteriaMaxStationaryStateIterations

long returnValue
 
qlEndCriteriaMaxStationaryStateIterations(
        string ObjectId
        any Trigger)

Description:

Returns the number of max interation in a stationary state for the given EndCriteria object.

Supported Platforms:

Excel

Parameters

ObjectId	id of existing QuantLib::EndCriteria object
Trigger	dependency tracking trigger

qlLevenbergMarquardt

string returnValue
 
qlLevenbergMarquardt(
        string ObjectId
        double Epsfcn
        double Xtol
        double Gtol
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class LevenbergMarquardt and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Epsfcn	epsfcn. Default value = 1.0e-8.
Xtol	xtol. Default value = 1.0e-8.
Gtol	gtol. Default value = 1.0e-8.
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlNoConstraint

string returnValue
 
qlNoConstraint(
        string ObjectId
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class NoConstraint and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSecondsToString

string returnValue
 
qlSecondsToString(
        double Seconds
        any Trigger)

Description:

returns a hh:mm:ss string from the number of seconds provided as input.

Supported Platforms:

Excel

Parameters

Seconds	number of seconds.
Trigger	dependency tracking trigger

qlSimplex

string returnValue
 
qlSimplex(
        string ObjectId
        double Lambda
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class Simplex and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
Lambda	lambda (typical scale length of the problem).
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag

qlSphereCylinderOptimizerClosest

vector<double> returnValue
 
qlSphereCylinderOptimizerClosest(
        double R
        double S
        double Alpha
        double Z1
        double Z2
        double Z3
        long MaxIter
        double Tol
        any Trigger)

Description:

Sphere Cylinder Optimizer Closest.

Supported Platforms:

Excel

Parameters

R	r.
S	s.
Alpha	alpha.
Z1	z1.
Z2	z2.
Z3	z3.
MaxIter	maxIter.
Tol	tolerance.
Trigger	dependency tracking trigger

qlSteepestDescent

string returnValue
 
qlSteepestDescent(
        string ObjectId
        string LineSearch
        bool Permanent
        any Trigger
        bool Overwrite)

Description:

Construct an object of class SteepestDescent and return its id

Supported Platforms:

Excel, C++

Parameters

ObjectId	id of object to be created
LineSearch	LineSearch object ID. Default value = .
Permanent	object permanent/nonpermanent
Trigger	dependency tracking trigger
Overwrite	overwrite flag