src/optimization/Constraint.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
  Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

  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 constraint.hpp
  \brief Abstract constraint class
*/

#ifndef quantlib_optimization_constraint_h
#define quantlib_optimization_constraint_h
#include "config.h"
#include "math/DynamicVector.hpp"

using namespace OpenMD;
namespace QuantLib {
    
    //! Base constraint class
    class Constraint {
    protected:
        //! Base class for constraint implementations
        class Impl {
        public:
            virtual ~Impl() {}
            //! Tests if params satisfy the constraint
            virtual bool test(const DynamicVector<RealType>& params) const = 0;
        };
        Impl* impl_;
    public:
        bool empty() const { return !impl_; }
        bool test(const DynamicVector<RealType>& p) const { return impl_->test(p); }
        RealType update(DynamicVector<RealType>& p,
                        const DynamicVector<RealType>& direction,
                        RealType beta);
        Constraint(Impl* impl = NULL);
    };

    //! No constraint
    class NoConstraint : public Constraint {
    private:
        class Impl : public Constraint::Impl {
        public:
            bool test(const DynamicVector<RealType>&) const {
                return true;
            }
        };
    public:
        NoConstraint()
            : Constraint(new NoConstraint::Impl()) {}
    };

    //! %Constraint imposing positivity to all arguments
    class PositiveConstraint : public Constraint {
    private:
        class Impl : public Constraint::Impl {
        public:
            bool test(const DynamicVector<RealType>& params) const {
                for (size_t i=0; i<params.size(); ++i) {
                    if (params[i] <= 0.0)
                        return false;
                }
                return true;
            }
        };
    public:
        PositiveConstraint()
            : Constraint(new PositiveConstraint::Impl) {}
    };

    //! %Constraint imposing all arguments to be in [low,high]
    class BoundaryConstraint : public Constraint {
    private:
        class Impl : public Constraint::Impl {
        public:
            Impl(RealType low, RealType high)
                : low_(low), high_(high) {}
            bool test(const DynamicVector<RealType>& params) const {
                for (size_t i=0; i<params.size(); i++) {
                    if ((params[i] < low_) || (params[i] > high_))
                        return false;
                }
                return true;
            }
        private:
            RealType low_, high_;
        };
    public:
        BoundaryConstraint(RealType low, RealType high)
            : Constraint( new BoundaryConstraint::Impl(low, high)) {}
    };

    //! %Constraint enforcing both given sub-constraints
    class CompositeConstraint : public Constraint {
    private:
        class Impl : public Constraint::Impl {
        public:
            Impl(const Constraint& c1,
                 const Constraint& c2)
                : c1_(c1), c2_(c2) {}
            bool test(const DynamicVector<RealType>& params) const {
                return c1_.test(params) && c2_.test(params);
            }
        private:
            Constraint c1_, c2_;
        };
    public:
        CompositeConstraint(const Constraint& c1, const Constraint& c2)
            : Constraint( new CompositeConstraint::Impl(c1,c2)) {}
    };

}

#endif
Revision:	1741
Committed:	Tue Jun 5 18:02:44 2012 UTC (12 years, 10 months ago) by gezelter
File size:	4165 byte(s)
Log Message:	Adding initial import of optimization library
#	User	Rev	Content
1	gezelter	1741	/* -- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -- */
2
3			/*
4			Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
5
6			This file is part of QuantLib, a free-software/open-source library
7			for financial quantitative analysts and developers - http://quantlib.org/
8
9			QuantLib is free software: you can redistribute it and/or modify it
10			under the terms of the QuantLib license. You should have received a
11			copy of the license along with this program; if not, please email
12			<quantlib-dev@lists.sf.net>. The license is also available online at
13			<http://quantlib.org/license.shtml>.
14
15			This program is distributed in the hope that it will be useful, but WITHOUT
16			ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17			FOR A PARTICULAR PURPOSE. See the license for more details.
18			*/
19
20			/*! \file constraint.hpp
21			\brief Abstract constraint class
22			*/
23
24			#ifndef quantlib_optimization_constraint_h
25			#define quantlib_optimization_constraint_h
26			#include "config.h"
27			#include "math/DynamicVector.hpp"
28
29			using namespace OpenMD;
30			namespace QuantLib {
31
32			//! Base constraint class
33			class Constraint {
34			protected:
35			//! Base class for constraint implementations
36			class Impl {
37			public:
38			virtual ~Impl() {}
39			//! Tests if params satisfy the constraint
40			virtual bool test(const DynamicVector<RealType>& params) const = 0;
41			};
42			Impl* impl_;
43			public:
44			bool empty() const { return !impl_; }
45			bool test(const DynamicVector<RealType>& p) const { return impl_->test(p); }
46			RealType update(DynamicVector<RealType>& p,
47			const DynamicVector<RealType>& direction,
48			RealType beta);
49			Constraint(Impl* impl = NULL);
50			};
51
52			//! No constraint
53			class NoConstraint : public Constraint {
54			private:
55			class Impl : public Constraint::Impl {
56			public:
57			bool test(const DynamicVector<RealType>&) const {
58			return true;
59			}
60			};
61			public:
62			NoConstraint()
63			: Constraint(new NoConstraint::Impl()) {}
64			};
65
66			//! %Constraint imposing positivity to all arguments
67			class PositiveConstraint : public Constraint {
68			private:
69			class Impl : public Constraint::Impl {
70			public:
71			bool test(const DynamicVector<RealType>& params) const {
72			for (size_t i=0; i<params.size(); ++i) {
73			if (params[i] <= 0.0)
74			return false;
75			}
76			return true;
77			}
78			};
79			public:
80			PositiveConstraint()
81			: Constraint(new PositiveConstraint::Impl) {}
82			};
83
84			//! %Constraint imposing all arguments to be in [low,high]
85			class BoundaryConstraint : public Constraint {
86			private:
87			class Impl : public Constraint::Impl {
88			public:
89			Impl(RealType low, RealType high)
90			: low_(low), high_(high) {}
91			bool test(const DynamicVector<RealType>& params) const {
92			for (size_t i=0; i<params.size(); i++) {
93			if ((params[i] < low_) \|\| (params[i] > high_))
94			return false;
95			}
96			return true;
97			}
98			private:
99			RealType low_, high_;
100			};
101			public:
102			BoundaryConstraint(RealType low, RealType high)
103			: Constraint( new BoundaryConstraint::Impl(low, high)) {}
104			};
105
106			//! %Constraint enforcing both given sub-constraints
107			class CompositeConstraint : public Constraint {
108			private:
109			class Impl : public Constraint::Impl {
110			public:
111			Impl(const Constraint& c1,
112			const Constraint& c2)
113			: c1_(c1), c2_(c2) {}
114			bool test(const DynamicVector<RealType>& params) const {
115			return c1_.test(params) && c2_.test(params);
116			}
117			private:
118			Constraint c1_, c2_;
119			};
120			public:
121			CompositeConstraint(const Constraint& c1, const Constraint& c2)
122			: Constraint( new CompositeConstraint::Impl(c1,c2)) {}
123			};
124
125			}
126
127			#endif