Optimization Package

The numerical::QuasiNewton class implements the BFGS quasi-Newton method.

The numerical::PenaltyQuasiNewton class implements the penalty method for equality constrained optimization. It uses the numerical::FunctionWithQuadraticPenalty class with the quasi-Newton method.

The numerical::Simplex class implements the downhill simplex method.

The numerical::Penalty class implements the penalty method for equality constrained optimization. It uses the numerical::FunctionWithQuadraticPenalty class with the downhill simplex method.

The numerical::CoordinateDescent class implements the coordinate descent method of Hooke and Jeeves.

Use the optimization package by including the file optimization.h.