LineSearch.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
  Copyright (C) 2006 Ferdinando Ametrano
  Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
 
  QuantLib is free software: you can redistribute it and/or modify it
  under the terms of the QuantLib license.  You should have received a
  copy of the license along with this program; if not, please email
  <quantlib-dev@lists.sf.net>. The license is also available online at
  <http://quantlib.org/license.shtml>.
 
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file linesearch.hpp
  \brief Line search abstract class
*/
 
#ifndef quantlib_optimization_line_search_h_
#define quantlib_optimization_line_search_h_
 
#include "math/DynamicVector.hpp"
#include "optimization/EndCriteria.hpp"
 
using namespace OpenMD;
namespace QuantLib {
 
  class Problem;
  class Constraint;
  class EndCriteria;
 
  //! Base class for line search
  class LineSearch {
  public:
    //! Default constructor
    explicit LineSearch(RealType = 0.0) : qt_(0.0), qpt_(0.0), succeed_(true) {}
    //! Destructor
    virtual ~LineSearch() {}
 
    //! return last x value
    const DynamicVector<RealType>& lastX() { return xtd_; }
    //! return last objective function value
    RealType lastFunctionValue() { return qt_; }
    //! return last gradient
    const DynamicVector<RealType>& lastGradient() { return gradient_; }
    //! return square norm of last gradient
    RealType lastGradientNorm2() { return qpt_; }
 
    bool succeed() { return succeed_; }
 
    //! Perform line search
    virtual RealType operator()(
        Problem& P,  // Optimization problem
        EndCriteria::Type& ecType, const EndCriteria&,
        const RealType t_ini) = 0;  // initial value of line-search step
    RealType update(DynamicVector<RealType>& params,
                    const DynamicVector<RealType>& direction, RealType beta,
                    const Constraint& constraint);
 
    //! current value of the search direction
    const DynamicVector<RealType>& searchDirection() const {
      return searchDirection_;
    }
    DynamicVector<RealType>& searchDirection() { return searchDirection_; }
 
  protected:
    //! current values of the search direction
    DynamicVector<RealType> searchDirection_;
    //! new x and its gradient
    DynamicVector<RealType> xtd_, gradient_;
    //! objective function value and gradient norm corresponding to xtd_
    RealType qt_, qpt_;
    //! flag to know if linesearch succeed
    bool succeed_;
  };
}  // namespace QuantLib
 
#endif