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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2007 François du Vignaud
Copyright (C) 2007 Giorgio Facchinetti
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.
*/
#include <ql/math/optimization/projection.hpp>
#include <utility>
namespace QuantLib {
Projection::Projection(const Array& parameterValues, std::vector<bool> fixParameters)
: fixedParameters_(parameterValues), actualParameters_(parameterValues),
fixParameters_(std::move(fixParameters)) {
if (fixParameters_.empty())
fixParameters_ =
std::vector<bool>(actualParameters_.size(), false);
QL_REQUIRE(fixedParameters_.size() == fixParameters_.size(),
"fixedParameters_.size()!=parametersFreedoms_.size()");
for (auto&& fixParameter : fixParameters_)
if (!fixParameter)
numberOfFreeParameters_++;
QL_REQUIRE(numberOfFreeParameters_ > 0, "numberOfFreeParameters==0");
}
void Projection::mapFreeParameters(const Array ¶meterValues) const {
QL_REQUIRE(parameterValues.size() == numberOfFreeParameters_,
"parameterValues.size()!=numberOfFreeParameters");
Size i = 0;
for (Size j = 0; j < actualParameters_.size(); j++)
if (!fixParameters_[j])
actualParameters_[j] = parameterValues[i++];
}
Array Projection::project(const Array ¶meters) const {
QL_REQUIRE(parameters.size() == fixParameters_.size(),
"parameters.size()!=parametersFreedoms_.size()");
Array projectedParameters(numberOfFreeParameters_);
Size i = 0;
for (Size j = 0; j < fixParameters_.size(); j++)
if (!fixParameters_[j])
projectedParameters[i++] = parameters[j];
return projectedParameters;
}
Array Projection::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 (!fixParameters_[j])
y[j] = projectedParameters[i++];
return y;
}
}
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