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
|
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
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.
*/
#include <ql/math/optimization/linesearch.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/optimization/constraint.hpp>
namespace QuantLib {
Real LineSearch::update(Array& params,
const Array& direction,
Real beta,
const Constraint& constraint) {
Real diff=beta;
Array newParams = params + diff*direction;
bool valid = constraint.test(newParams);
Integer icount = 0;
while (!valid) {
if (icount > 200)
QL_FAIL("can't update linesearch");
diff *= 0.5;
icount ++;
newParams = params + diff*direction;
valid = constraint.test(newParams);
}
params += diff*direction;
return diff;
}
}
|
