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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2013 Peter Caspers
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 projectedconstraint.hpp
\brief Projected constraint
*/
#ifndef quantlib_optimization_projectedconstraint_h
#define quantlib_optimization_projectedconstraint_h
#include <ql/math/optimization/constraint.hpp>
#include <ql/math/optimization/projection.hpp>
#include <utility>
namespace QuantLib {
class ProjectedConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
Impl(Constraint constraint,
const Array& parameterValues,
const std::vector<bool>& fixParameters)
: constraint_(std::move(constraint)), projection_(parameterValues, fixParameters) {}
Impl(Constraint constraint, const Projection& projection)
: constraint_(std::move(constraint)), projection_(projection) {}
bool test(const Array& params) const override {
return constraint_.test(projection_.include(params));
}
Array upperBound(const Array& params) const override {
return projection_.project(constraint_.upperBound(projection_.include(params)));
}
Array lowerBound(const Array& params) const override {
return projection_.project(constraint_.lowerBound(projection_.include(params)));
}
private:
const Constraint constraint_;
const Projection projection_;
};
public:
ProjectedConstraint(const Constraint &constraint,
const Array ¶meterValues,
const std::vector<bool> &fixParameters)
: Constraint(ext::shared_ptr<Constraint::Impl>(
new ProjectedConstraint::Impl(constraint, parameterValues,
fixParameters))) {}
ProjectedConstraint(const Constraint &constraint,
const Projection &projection)
: Constraint(ext::shared_ptr<Constraint::Impl>(
new ProjectedConstraint::Impl(constraint, projection))) {}
};
}
#endif
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