src/optimization/Constraint.cpp

/* -*- 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.
*/

#include "optimization/Constraint.hpp"
#include "utils/simError.h"
#include <cstdio>

namespace QuantLib {

    Constraint::Constraint(Constraint::Impl* impl)
    : impl_(impl) {}

    RealType Constraint::update(DynamicVector<RealType>& params,
                                const DynamicVector<RealType>& direction,
                                RealType beta) {

        RealType diff=beta;
        DynamicVector<RealType> newParams = params + diff*direction;
        bool valid = test(newParams);
        int icount = 0;
        while (!valid) {
            if (icount > 200) {
                sprintf(painCave.errMsg,  "can't update parameter vector\n");
                painCave.isFatal = 1;
                painCave.severity = OPENMD_ERROR;
                simError();
            }
            diff *= 0.5;
            icount ++;
            newParams = params + diff*direction;
            valid = test(newParams);
        }
        params += diff*direction;
        return diff;
    }

}
Revision:	1788
Committed:	Wed Aug 29 20:17:07 2012 UTC (12 years, 8 months ago) by gezelter
File size:	1816 byte(s)
Log Message:	Fixed a bug in ForceManager and a compilation issue for cygwin
#	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			#include "optimization/Constraint.hpp"
21			#include "utils/simError.h"
22	gezelter	1788	#include <cstdio>
23	gezelter	1741
24			namespace QuantLib {
25
26			Constraint::Constraint(Constraint::Impl* impl)
27			: impl_(impl) {}
28
29			RealType Constraint::update(DynamicVector<RealType>& params,
30			const DynamicVector<RealType>& direction,
31			RealType beta) {
32
33			RealType diff=beta;
34			DynamicVector<RealType> newParams = params + diff*direction;
35			bool valid = test(newParams);
36			int icount = 0;
37			while (!valid) {
38			if (icount > 200) {
39			sprintf(painCave.errMsg, "can't update parameter vector\n");
40			painCave.isFatal = 1;
41			painCave.severity = OPENMD_ERROR;
42			simError();
43			}
44			diff *= 0.5;
45			icount ++;
46			newParams = params + diff*direction;
47			valid = test(newParams);
48			}
49			params += diff*direction;
50			return diff;
51			}
52
53			}