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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 Ferdinando Ametrano |
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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 linesearch.hpp |
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\brief Line search abstract class |
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*/ |
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#ifndef quantlib_optimization_line_search_h_ |
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#define quantlib_optimization_line_search_h_ |
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#include "math/DynamicVector.hpp" |
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#include "optimization/EndCriteria.hpp" |
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using namespace OpenMD; |
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namespace QuantLib { |
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class Problem; |
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class Constraint; |
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class EndCriteria; |
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//! Base class for line search |
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class LineSearch { |
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public: |
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//! Default constructor |
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LineSearch(RealType = 0.0) |
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: qt_(0.0), qpt_(0.0), succeed_(true) {} |
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//! Destructor |
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virtual ~LineSearch() {} |
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//! return last x value |
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const DynamicVector<RealType>& lastX() { return xtd_; } |
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//! return last objective function value |
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RealType lastFunctionValue() { return qt_; } |
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//! return last gradient |
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const DynamicVector<RealType>& lastGradient() { return gradient_; } |
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//! return square norm of last gradient |
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RealType lastGradientNorm2() { return qpt_;} |
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bool succeed() { return succeed_; } |
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//! Perform line search |
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virtual 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) = 0; // initial value of line-search step |
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RealType 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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//! current value of the search direction |
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const DynamicVector<RealType>& searchDirection() const { return searchDirection_; } |
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DynamicVector<RealType>& searchDirection() { return searchDirection_; } |
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protected: |
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//! current values of the search direction |
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DynamicVector<RealType> searchDirection_; |
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//! new x and its gradient |
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DynamicVector<RealType> xtd_, gradient_; |
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//! objective function value and gradient norm corresponding to xtd_ |
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RealType qt_, qpt_; |
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//! flag to know if linesearch succeed |
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bool succeed_; |
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}; |
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} |
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#endif |
