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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) 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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#include "optimization/LineSearch.hpp" |
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#include "optimization/Problem.hpp" |
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#include "optimization/Constraint.hpp" |
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#include "utils/simError.h" |
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gezelter |
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#include <cstdio> |
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gezelter |
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namespace QuantLib { |
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RealType LineSearch::update(DynamicVector<RealType>& params, |
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const DynamicVector<RealType>& direction, |
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RealType beta, |
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const Constraint& constraint) { |
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RealType diff=beta; |
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DynamicVector<RealType> newParams = params + diff*direction; |
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bool valid = constraint.test(newParams); |
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int icount = 0; |
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while (!valid) { |
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if (icount > 200) { |
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sprintf(painCave.errMsg, "can't update linesearch\n"); |
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painCave.isFatal = 1; |
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painCave.severity = OPENMD_ERROR; |
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simError(); |
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} |
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diff *= 0.5; |
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icount ++; |
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newParams = params + diff*direction; |
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valid = constraint.test(newParams); |
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} |
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params += diff*direction; |
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return diff; |
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} |
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} |
