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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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/* |
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Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
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|
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This file is part of QuantLib, a free-software/open-source library |
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for financial quantitative analysts and developers - http://quantlib.org/ |
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|
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QuantLib is free software: you can redistribute it and/or modify it |
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under the terms of the QuantLib license. You should have received a |
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copy of the license along with this program; if not, please email |
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<quantlib-dev@lists.sf.net>. The license is also available online at |
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<http://quantlib.org/license.shtml>. |
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|
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This program is distributed in the hope that it will be useful, but WITHOUT |
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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FOR A PARTICULAR PURPOSE. See the license for more details. |
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*/ |
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/*! \file armijo.hpp |
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\brief Armijo line-search class |
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*/ |
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|
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#ifndef quantlib_optimization_armijo_hpp |
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#define quantlib_optimization_armijo_hpp |
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#include "optimization/LineSearch.hpp" |
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|
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namespace QuantLib { |
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|
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class EndCriteria; |
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|
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//! Armijo line search. |
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/*! Let \f$ \alpha \f$ and \f$ \beta \f$ be 2 scalars in \f$ [0,1] |
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\f$. Let \f$ x \f$ be the current value of the unknown, \f$ d |
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\f$ the search direction and \f$ t \f$ the step. Let \f$ f \f$ |
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be the function to minimize. The line search stops when \f$ t |
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\f$ verifies |
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\f[ f(x + t \cdot d) - f(x) \leq -\alpha t f'(x+t \cdot d) \f] |
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and |
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\f[ f(x+\frac{t}{\beta} \cdot d) - f(x) > -\frac{\alpha}{\beta} |
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t f'(x+t \cdot d) \f] |
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|
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(see Polak, Algorithms and consistent approximations, Optimization, |
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volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, |
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1997) |
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*/ |
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class ArmijoLineSearch : public LineSearch { |
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public: |
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//! Default constructor |
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ArmijoLineSearch(RealType eps = 1e-8, |
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RealType alpha = 0.05, |
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RealType beta = 0.65) |
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: LineSearch(eps), alpha_(alpha), beta_(beta) {} |
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|
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//! Perform line search |
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RealType operator()(Problem& P, // Optimization problem |
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EndCriteria::Type& ecType, |
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const EndCriteria&, |
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const RealType t_ini); // initial value of line-search step |
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private: |
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RealType alpha_, beta_; |
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}; |
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|
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} |
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|
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#endif |
