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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 linesearch.hpp
\brief Line search abstract class
\fullpath
ql/Optimization/%linesearch.hpp
*/
#ifndef quantlib_optimization_line_search_h_
#define quantlib_optimization_line_search_h_
#include "ql/Optimization/optimizer.hpp"
/*!
Base class for line search
*/
namespace QuantLib {
namespace Optimization {
class LineSearch {
public:
//! Default constructor
LineSearch(double eps = 1e-8)
: qt_(0.0), qpt_(0.0), succeed_(true) {}
//! Destructor
virtual ~LineSearch() {}
//! return last x value
const Array& lastX() { return xtd_; }
//! return last cost function value
double lastFunctionValue() { return qt_; }
//! return last gradient
const Array& lastGradient() { return gradient_; }
//! return square norm of last gradient
double lastGradientNorm2() { return qpt_;}
bool succeed() { return succeed_; }
//! Perform line search
virtual double operator() (
OptimizationProblem &P,
double t_ini) = 0;
double update(
Array& params,
const Array& direction,
double beta,
const Constraint& constraint) {
double diff=beta;
Array newParams = params + diff*direction;
bool valid = constraint.test(newParams);
int icount = 0;
while (!valid) {
if (icount > 200)
throw Error("Can't update linesearch");
diff *= 0.5;
icount ++;
newParams = params + diff*direction;
valid = constraint.test(newParams);
}
params += diff*direction;
return diff;
}
protected:
//! new x and its gradient
Array xtd_, gradient_;
//! cost function value and gradient norm corresponding to xtd_
double qt_, qpt_;
//! flag to know if linesearch succeed
bool succeed_;
};
}
}
#endif
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