1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 Franois du Vignaud
Copyright (C) 2007 Giorgio Facchinetti
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.
*/
#include <ql/math/optimization/projectedcostfunction.hpp>
namespace QuantLib {
ProjectedCostFunction::ProjectedCostFunction(
const CostFunction& costFunction,
const Array& parametersValues,
const std::vector<bool>& parametersFreedoms)
:numberOfFreeParameters_(0),
fixedParameters_(parametersValues),
actualParameters_(parametersValues),
parametersFreedoms_(parametersFreedoms),
costFunction_(costFunction){
QL_REQUIRE(fixedParameters_.size()==parametersFreedoms_.size(),
"fixedParameters_.size()!=parametersFreedoms_.size()");
for (Size i=0; i<parametersFreedoms_.size(); i++)
if(!parametersFreedoms_[i]) numberOfFreeParameters_++;
QL_REQUIRE(numberOfFreeParameters_>0,"numberOfFreeParameters==0");
}
void ProjectedCostFunction::mapFreeParameters
(const Array& parametersValues) const {
QL_REQUIRE(parametersValues.size()==numberOfFreeParameters_,
"parametersValues.size()!=numberOfFreeParameters");
Size i = 0;
for (Size j=0; j<actualParameters_.size(); j++)
if(!parametersFreedoms_[j])
actualParameters_[j] = parametersValues[i++];
}
Real ProjectedCostFunction::value(const Array& freeParameters) const {
mapFreeParameters(freeParameters);
return costFunction_.value(actualParameters_);
}
Disposable<Array> ProjectedCostFunction::values(
const Array& freeParameters) const{
mapFreeParameters(freeParameters);
return costFunction_.values(actualParameters_);
}
Disposable<Array> ProjectedCostFunction::project
(const Array& parameters) const{
QL_REQUIRE(parameters.size()==parametersFreedoms_.size(),
"parameters.size()!=parametersFreedoms_.size()");
Array projectedParameters(numberOfFreeParameters_);
Size i = 0;
for (Size j=0; j<parametersFreedoms_.size(); j++)
if(!parametersFreedoms_[j])
projectedParameters[i++] = parameters[j];
return projectedParameters;
}
Disposable<Array> ProjectedCostFunction::include(
const Array& projectedParameters) const{
QL_REQUIRE(projectedParameters.size()==numberOfFreeParameters_,
"projectedParameters.size()!=numberOfFreeParameters");
Array y(fixedParameters_);
Size i = 0;
for (Size j=0; j<y.size(); j++)
if(!parametersFreedoms_[j])
y[j] = projectedParameters[i++];
return y;
}
}
|
