| 1 |
/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
| 2 |
|
| 3 |
/* |
| 4 |
Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré |
| 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 |
#include "optimization/LineSearch.hpp" |
| 21 |
#include "optimization/Problem.hpp" |
| 22 |
#include "optimization/Constraint.hpp" |
| 23 |
#include "utils/simError.h" |
| 24 |
|
| 25 |
namespace QuantLib { |
| 26 |
|
| 27 |
RealType LineSearch::update(DynamicVector<RealType>& params, |
| 28 |
const DynamicVector<RealType>& direction, |
| 29 |
RealType beta, |
| 30 |
const Constraint& constraint) { |
| 31 |
|
| 32 |
RealType diff=beta; |
| 33 |
DynamicVector<RealType> newParams = params + diff*direction; |
| 34 |
bool valid = constraint.test(newParams); |
| 35 |
int icount = 0; |
| 36 |
while (!valid) { |
| 37 |
if (icount > 200) { |
| 38 |
sprintf(painCave.errMsg, "can't update linesearch\n"); |
| 39 |
painCave.isFatal = 1; |
| 40 |
painCave.severity = OPENMD_ERROR; |
| 41 |
simError(); |
| 42 |
} |
| 43 |
diff *= 0.5; |
| 44 |
icount ++; |
| 45 |
newParams = params + diff*direction; |
| 46 |
valid = constraint.test(newParams); |
| 47 |
} |
| 48 |
params += diff*direction; |
| 49 |
return diff; |
| 50 |
} |
| 51 |
|
| 52 |
} |
