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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 ObjectiveFunction.hpp |
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\brief Optimization objective function class |
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*/ |
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|
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#ifndef optimization_objectivefunction_h |
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#define optimization_objectivefunction_h |
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#include "config.h" |
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#include "math/DynamicVector.hpp" |
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|
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using namespace OpenMD; |
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namespace QuantLib { |
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|
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//! Objective function abstract class for optimization problem |
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class ObjectiveFunction { |
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public: |
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virtual ~ObjectiveFunction() {} |
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//! method to overload to compute the objective function value in x |
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virtual RealType value(const DynamicVector<RealType>& x) = 0; |
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|
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//! method to overload to compute grad_f, the first derivative of |
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// the objective function with respect to x |
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virtual void gradient(DynamicVector<RealType>& grad, const DynamicVector<RealType>& x) { |
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RealType eps = finiteDifferenceEpsilon(), fp, fm; |
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DynamicVector<RealType> xx(x); |
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for (size_t i=0; i<x.size(); i++) { |
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xx[i] += eps; |
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fp = value(xx); |
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xx[i] -= 2.0*eps; |
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fm = value(xx); |
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grad[i] = 0.5*(fp - fm)/eps; |
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xx[i] = x[i]; |
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} |
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} |
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|
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//! method to overload to compute grad_f, the first derivative |
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// of the objective function with respect to x and also the |
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// objective function |
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virtual RealType valueAndGradient(DynamicVector<RealType>& grad, |
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const DynamicVector<RealType>& x) { |
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gradient(grad, x); |
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return value(x); |
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} |
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//! Default epsilon for finite difference method : |
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virtual RealType finiteDifferenceEpsilon() const { return 1e-8; } |
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}; |
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|
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class ParametersTransformation { |
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public: |
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virtual ~ParametersTransformation() {} |
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virtual DynamicVector<RealType> direct(const DynamicVector<RealType>& x) const = 0; |
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virtual DynamicVector<RealType> inverse(const DynamicVector<RealType>& x) const = 0; |
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}; |
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} |
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|
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#endif |
