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Conjugate gradient optimization method.
Port of ql/math/optimization/conjugategradient.{hpp,cpp}:
Fletcher-Reeves-Polak-Ribiere as adapted from Numerical Recipes in C,
2nd edition. The search direction is d_i = -f'(x_i) + c_i * d_(i-1)
with c_i = ||f'(x_i)||^2 / ||f'(x_(i-1))||^2 and d_1 = -f'(x_1);
it requires the gradient of the cost function.
Structsยง
- Conjugate
Gradient - Multi-dimensional conjugate gradient method.