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gezelter |
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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) 2006, 2007 Ferdinando Ametrano |
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Copyright (C) 2007 Marco Bianchetti |
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Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
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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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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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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 endcriteria.hpp |
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\brief Optimization criteria class |
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*/ |
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#ifndef quantlib_optimization_criteria_hpp |
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#define quantlib_optimization_criteria_hpp |
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#include "config.h" |
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#include <ostream> |
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namespace QuantLib { |
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//! Criteria to end optimization process: |
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/*! - maximum number of iterations AND minimum number of iterations around stationary point |
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- x (independent variable) stationary point |
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- y=f(x) (dependent variable) stationary point |
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- stationary gradient |
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*/ |
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class EndCriteria { |
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public: |
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enum Type {None, |
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MaxIterations, |
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StationaryPoint, |
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StationaryFunctionValue, |
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StationaryFunctionAccuracy, |
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ZeroGradientNorm, |
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Unknown}; |
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//! Initialization constructor |
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EndCriteria(size_t maxIterations, |
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size_t maxStationaryStateIterations, |
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RealType rootEpsilon, |
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RealType functionEpsilon, |
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RealType gradientNormEpsilon); |
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// Inspectors |
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size_t maxIterations() const; |
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size_t maxStationaryStateIterations() const; |
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RealType rootEpsilon() const; |
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RealType functionEpsilon() const; |
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RealType gradientNormEpsilon() const; |
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/*! Test if the number of iterations is not too big |
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and if a minimum point is not reached */ |
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bool operator()(const size_t iteration, |
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size_t& statState, |
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const bool positiveOptimization, |
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const RealType fold, |
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const RealType normgold, |
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const RealType fnew, |
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const RealType normgnew, |
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EndCriteria::Type& ecType) const; |
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/*! Test if the number of iteration is below MaxIterations */ |
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bool checkMaxIterations(const size_t iteration, |
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EndCriteria::Type& ecType) const; |
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/*! Test if the root variation is below rootEpsilon */ |
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bool checkStationaryPoint(const RealType xOld, |
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const RealType xNew, |
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size_t& statStateIterations, |
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EndCriteria::Type& ecType) const; |
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/*! Test if the function variation is below functionEpsilon */ |
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bool checkStationaryFunctionValue(const RealType fxOld, |
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const RealType fxNew, |
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size_t& statStateIterations, |
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EndCriteria::Type& ecType) const; |
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/*! Test if the function value is below functionEpsilon */ |
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bool checkStationaryFunctionAccuracy(const RealType f, |
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const bool positiveOptimization, |
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EndCriteria::Type& ecType) const; |
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/*! Test if the gradient norm value is below gradientNormEpsilon */ |
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bool checkZeroGradientNorm(const RealType gNorm, |
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EndCriteria::Type& ecType) const; |
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protected: |
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//! Maximum number of iterations |
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size_t maxIterations_; |
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//! Maximun number of iterations in stationary state |
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mutable size_t maxStationaryStateIterations_; |
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//! root, function and gradient epsilons |
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RealType rootEpsilon_, functionEpsilon_, gradientNormEpsilon_; |
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}; |
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std::ostream& operator<<(std::ostream& out, EndCriteria::Type ecType); |
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} |
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#endif |
