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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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|
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/* |
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Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb |
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|
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This file is part of QuantLib, a free-software/open-source library |
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for financial quantitative analysts and developers - http://quantlib.org/ |
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|
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QuantLib is free software: you can redistribute it and/or modify it |
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under the terms of the QuantLib license. You should have received a |
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copy of the license along with this program; if not, please email |
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<quantlib-dev@lists.sf.net>. The license is also available online at |
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<http://quantlib.org/license.shtml>. |
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|
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This program is distributed in the hope that it will be useful, but WITHOUT |
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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FOR A PARTICULAR PURPOSE. See the license for more details. |
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*/ |
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|
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/*! \file constraint.hpp |
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\brief Abstract constraint class |
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*/ |
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|
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#ifndef quantlib_optimization_constraint_h |
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#define quantlib_optimization_constraint_h |
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#include "config.h" |
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#include "math/DynamicVector.hpp" |
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|
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using namespace OpenMD; |
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namespace QuantLib { |
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|
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//! Base constraint class |
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class Constraint { |
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protected: |
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//! Base class for constraint implementations |
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class Impl { |
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public: |
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virtual ~Impl() {} |
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//! Tests if params satisfy the constraint |
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virtual bool test(const DynamicVector<RealType>& params) const = 0; |
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}; |
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Impl* impl_; |
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public: |
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bool empty() const { return !impl_; } |
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bool test(const DynamicVector<RealType>& p) const { return impl_->test(p); } |
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RealType update(DynamicVector<RealType>& p, |
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const DynamicVector<RealType>& direction, |
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RealType beta); |
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Constraint(Impl* impl = NULL); |
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}; |
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|
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//! No constraint |
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class NoConstraint : public Constraint { |
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private: |
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class Impl : public Constraint::Impl { |
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public: |
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bool test(const DynamicVector<RealType>&) const { |
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return true; |
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} |
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}; |
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public: |
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NoConstraint() |
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: Constraint(new NoConstraint::Impl()) {} |
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}; |
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|
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//! %Constraint imposing positivity to all arguments |
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class PositiveConstraint : public Constraint { |
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private: |
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class Impl : public Constraint::Impl { |
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public: |
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bool test(const DynamicVector<RealType>& params) const { |
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for (size_t i=0; i<params.size(); ++i) { |
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if (params[i] <= 0.0) |
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return false; |
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} |
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return true; |
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} |
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}; |
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public: |
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PositiveConstraint() |
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: Constraint(new PositiveConstraint::Impl) {} |
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}; |
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|
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//! %Constraint imposing all arguments to be in [low,high] |
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class BoundaryConstraint : public Constraint { |
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private: |
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class Impl : public Constraint::Impl { |
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public: |
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Impl(RealType low, RealType high) |
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: low_(low), high_(high) {} |
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bool test(const DynamicVector<RealType>& params) const { |
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for (size_t i=0; i<params.size(); i++) { |
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if ((params[i] < low_) || (params[i] > high_)) |
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return false; |
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} |
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return true; |
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} |
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private: |
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RealType low_, high_; |
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}; |
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public: |
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BoundaryConstraint(RealType low, RealType high) |
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: Constraint( new BoundaryConstraint::Impl(low, high)) {} |
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}; |
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|
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//! %Constraint enforcing both given sub-constraints |
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class CompositeConstraint : public Constraint { |
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private: |
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class Impl : public Constraint::Impl { |
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public: |
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Impl(const Constraint& c1, |
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const Constraint& c2) |
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: c1_(c1), c2_(c2) {} |
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bool test(const DynamicVector<RealType>& params) const { |
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return c1_.test(params) && c2_.test(params); |
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} |
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private: |
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Constraint c1_, c2_; |
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}; |
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public: |
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CompositeConstraint(const Constraint& c1, const Constraint& c2) |
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: Constraint( new CompositeConstraint::Impl(c1,c2)) {} |
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}; |
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|
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} |
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|
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#endif |
