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SobolSearch Class Reference

#include <Optimizer.h>

Inheritance diagram for SobolSearch:

Optimizer ConcreteSobolSearch SobolLiborCalibrationOptimizer List of all members.

Detailed Description

Constrained global search using a Sobol sequence. Slow and dumb but thorough. Searches a rectangular window centered at the current best point with a Sobol sequence then restarts itself at the next best point with a slightly contracted window and fewer search points.

Michael J. Meyer

Definition at line 532 of file Optimizer.h.

Public Member Functions

 SobolSearch (const RealArray1D &x0, int nVals, const RealArray1D &delta, bool vbose=false)
virtual bool isInDomain (const RealArray1D &u) const
const RealArray1Dsearch ()

Protected Attributes

int nPoints
Real q
RealArray1D xOpt
RealArray1D x
RealArray1D d
bool verbose

Constructor & Destructor Documentation

SobolSearch::SobolSearch const RealArray1D   x0,
int    nVals,
const RealArray1D   delta,
bool    vbose = false

x0 initial point.
nVals total number of function evaluations.
delta initial window all u with .
vbose announce each new min during search.

Member Function Documentation

virtual bool SobolSearch::isInDomain const RealArray1D   u const [inline, virtual]

Wether or not the vector u is in the search domain. This is the default implementation (true, unconstrained search).

Reimplemented in SobolLiborCalibrationOptimizer.

Definition at line 559 of file Optimizer.h.

const RealArray1D& SobolSearch::search   [virtual]

Search for vector x minimizing the function f(x).

the minimizing vector x.

Implements Optimizer.

Member Data Documentation

int SobolSearch::nPoints [protected]

Definition at line 536 of file Optimizer.h.

Real SobolSearch::q [protected]

Definition at line 537 of file Optimizer.h.

RealArray1D SobolSearch::xOpt [protected]

Definition at line 538 of file Optimizer.h.

RealArray1D SobolSearch::x [protected]

Definition at line 539 of file Optimizer.h.

Referenced by ConcreteSobolSearch::ConcreteSobolSearch().

RealArray1D SobolSearch::d [protected]

Definition at line 540 of file Optimizer.h.

bool SobolSearch::verbose [protected]

Definition at line 542 of file Optimizer.h.

Referenced by ConcreteSobolSearch::ConcreteSobolSearch().

LowDiscrepancySequence* SobolSearch::lds [protected]

Definition at line 544 of file Optimizer.h.

The documentation for this class was generated from the following file:
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