| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | /*! \file armijo.hpp |
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| 21 | \brief Armijo line-search class |
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| 22 | */ |
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| 23 | |
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| 24 | #ifndef quantlib_optimization_armijo_hpp |
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| 25 | #define quantlib_optimization_armijo_hpp |
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| 26 | |
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| 27 | #include <ql/math/optimization/linesearch.hpp> |
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| 28 | |
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| 29 | namespace QuantLib { |
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| 30 | |
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| 31 | class EndCriteria; |
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| 32 | |
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| 33 | //! Armijo line search. |
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| 34 | /*! Let \f$ \alpha \f$ and \f$ \beta \f$ be 2 scalars in \f$ [0,1] |
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| 35 | \f$. Let \f$ x \f$ be the current value of the unknown, \f$ d |
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| 36 | \f$ the search direction and \f$ t \f$ the step. Let \f$ f \f$ |
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| 37 | be the function to minimize. The line search stops when \f$ t |
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| 38 | \f$ verifies |
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| 39 | \f[ f(x + t \cdot d) - f(x) \leq -\alpha t f'(x+t \cdot d) \f] |
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| 40 | and |
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| 41 | \f[ f(x+\frac{t}{\beta} \cdot d) - f(x) > -\frac{\alpha}{\beta} |
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| 42 | t f'(x+t \cdot d) \f] |
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| 43 | |
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| 44 | (see Polak, Algorithms and consistent approximations, Optimization, |
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| 45 | volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY, |
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| 46 | 1997) |
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| 47 | */ |
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| 48 | class ArmijoLineSearch : public LineSearch { |
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| 49 | public: |
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| 50 | //! Default constructor |
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| 51 | ArmijoLineSearch(Real eps = 1e-8, |
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| 52 | Real alpha = 0.05, |
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| 53 | Real beta = 0.65) |
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| 54 | : LineSearch(eps), alpha_(alpha), beta_(beta) {} |
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| 55 | |
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| 56 | //! Perform line search |
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| 57 | Real operator()(Problem& P, // Optimization problem |
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| 58 | EndCriteria::Type& ecType, |
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| 59 | const EndCriteria&, |
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| 60 | Real t_ini) override; // initial value of line-search step |
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| 61 | private: |
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| 62 | Real alpha_, beta_; |
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| 63 | }; |
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| 64 | |
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| 65 | } |
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| 66 | |
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| 67 | #endif |
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| 68 | |
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