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/*
Copyright (C) 2001, 2002 Nicolas Di Csar
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 ferdinando@ametrano.net
The license is also available online at http://quantlib.org/html/license.html
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 costfunction.hpp
\brief Optimization cost function class
\fullpath
ql/Optimization/%costfunction.hpp
*/
#ifndef quantlib_optimization_costfunction_h
#define quantlib_optimization_costfunction_h
#include <ql/qldefines.hpp>
#include <ql/array.hpp>
namespace QuantLib {
namespace Optimization {
//! Cost function abstract class for optimization problem
class CostFunction {
public:
//! method to overload to compute the cost functon value in x
virtual double value(const Array& x) = 0;
//! method to overload to compute grad_f, the first derivative of
// the cost function with respect to x
virtual void gradient(Array& grad, const Array& x) {
double eps = finiteDifferenceEpsilon(), fp, fm;
Array xx(x);
for (Size i=0; i<x.size(); i++) {
xx[i] += eps;
fp = value(xx);
xx[i] -= 2.0*eps;
fm = value(xx);
grad[i] = 0.5*(fp - fm)/eps;
xx[i] = x[i];
}
std::cout << "Gradient at " << x << " = " << grad << std::endl;
}
//! method to overload to compute grad_f, the first derivative of
// the cost function with respect to x and also the cost function
virtual double valueAndGradient(Array& grad, const Array& x) {
gradient(grad, x);
return value(x);
}
//! Default epsilon for finite difference method :
virtual double finiteDifferenceEpsilon() { return 1e-8; }
};
}
}
#endif
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