| 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) 2006 Ferdinando Ametrano |
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| 5 | Copyright (C) 2009 Frédéric Degraeve |
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| 6 | |
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| 7 | This file is part of QuantLib, a free-software/open-source library |
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| 8 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 9 | |
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| 10 | QuantLib is free software: you can redistribute it and/or modify it |
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| 11 | under the terms of the QuantLib license. You should have received a |
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| 12 | copy of the license along with this program; if not, please email |
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| 13 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 14 | <http://quantlib.org/license.shtml>. |
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| 15 | |
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| 16 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 17 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 18 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 19 | */ |
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| 20 | |
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| 21 | /*! \file linesearchbasedmethod.hpp |
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| 22 | \brief Abstract optimization method class |
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| 23 | */ |
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| 24 | |
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| 25 | #ifndef quantlib_line_search_based_optimization_method_h |
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| 26 | #define quantlib_line_search_based_optimization_method_h |
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| 27 | |
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| 28 | #include <ql/math/optimization/method.hpp> |
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| 29 | #include <ql/math/array.hpp> |
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| 30 | #include <ql/shared_ptr.hpp> |
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| 31 | |
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| 32 | namespace QuantLib { |
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| 33 | |
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| 34 | class LineSearch; |
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| 35 | |
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| 36 | //! Line search based method |
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| 37 | class LineSearchBasedMethod : public OptimizationMethod { |
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| 38 | public: |
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| 39 | explicit LineSearchBasedMethod( |
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| 40 | ext::shared_ptr<LineSearch> lSearch = ext::shared_ptr<LineSearch>()); |
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| 41 | ~LineSearchBasedMethod() override = default; |
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| 42 | |
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| 43 | EndCriteria::Type minimize(Problem& P, const EndCriteria& endCriteria) override; |
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| 44 | |
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| 45 | protected: |
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| 46 | //! computes the new search direction |
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| 47 | virtual Array getUpdatedDirection(const Problem &P, |
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| 48 | Real gold2, |
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| 49 | const Array& gradient) = 0; |
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| 50 | //! line search |
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| 51 | ext::shared_ptr<LineSearch> lineSearch_; |
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| 52 | }; |
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| 53 | |
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| 54 | } |
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| 55 | |
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| 56 | #endif |
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| 57 | |
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