Problem_MT Class Reference

Constrained optimization problem. More...

#include <qle/math/problem_mt.hpp>

Collaboration diagram for Problem_MT:

Public Member Functions
	Problem_MT (const std::vector< QuantLib::ext::shared_ptr< CostFunction > > &costFunctions, Constraint &constraint, const Array &initialValue=Array())
void	reset ()
Real	value (const Size i, const Array &x)
	call cost function i computation and increment evaluation counter More...
Array	values (const Size i, const Array &x)
	call cost values i computation and increment evaluation counter More...
void	gradient (const Size i, Array &grad_f, const Array &x)
	call cost function i gradient computation and increment More...
Real	valueAndGradient (const Size i, Array &grad_f, const Array &x)
	call cost function i computation and it gradient More...
Constraint &	constraint () const
	Constraint. More...
Integer	availableCostFunctions () const
	number of available independent cost functions More...
QuantLib::ext::shared_ptr< CostFunction >	costFunction (const Size i) const
	Cost function. More...
const std::vector< QuantLib::ext::shared_ptr< CostFunction > > &	costFunctions () const
	Cost funcionts. More...
void	setCurrentValue (const Array &currentValue)
const Array &	currentValue () const
	current value of the local minimum More...
void	setFunctionValue (Real functionValue)
Real	functionValue () const
	value of cost function More...
void	setGradientNormValue (Real squaredNorm)
Real	gradientNormValue () const
	value of cost function gradient norm More...
Integer	functionEvaluation () const
	number of evaluation of cost function More...
Integer	gradientEvaluation () const
	number of evaluation of cost function gradient More...

Protected Attributes
std::vector< QuantLib::ext::shared_ptr< CostFunction > >	costFunctions_
	Unconstrained cost function. More...
Constraint &	constraint_
	Constraint. More...
Array	currentValue_
	current value of the local minimum More...
Real	functionValue_
	function and gradient norm values at the curentValue_ (i.e. the last step) More...
Real	squaredNorm_
std::vector< Integer >	functionEvaluation_
	number of evaluation of cost function and its gradient More...
std::vector< Integer >	gradientEvaluation_

Detailed Description

Constrained optimization problem.

Warning:

The passed Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.

Definition at line 64 of file problem_mt.hpp.

Constructor & Destructor Documentation

Problem_MT()

Problem_MT	(	const std::vector< QuantLib::ext::shared_ptr< CostFunction > > &	costFunctions,
		Constraint &	constraint,
		const Array &	initialValue = Array()
	)

The requirement is that the cost functions can be evaluated from multiple threads without data races, which can e.g. be done by complete separation of the underlying data. Note that some methods in this class are not thread safe, namely reset, setCurrentValue, setFunctionValue, setGradientNormValue, i.e. those can not be used from several threads in a mt optimizer

Definition at line 72 of file problem_mt.hpp.

        : costFunctions_(costFunctions), constraint_(constraint),
          currentValue_(initialValue), functionEvaluation_(costFunctions.size(),0),
          gradientEvaluation_(costFunctions.size(),0) {}

Member Function Documentation

reset()

void reset

(

)

Warning:

it does not reset the current minumum to any initial value

Definition at line 172 of file problem_mt.hpp.

                                  {
        for(Size i=0;i<costFunctions_.size();++i) {
            functionEvaluation_.at(i) = gradientEvaluation_.at(i) = 0;
        }
        functionValue_ = squaredNorm_ = Null<Real>();
    }

value()

Real value	(	const Size	i,
		const Array &	x
	)

call cost function i computation and increment evaluation counter

Definition at line 150 of file problem_mt.hpp.

                                                              {
        ++functionEvaluation_.at(i);
        return costFunctions_.at(i)->value(x);
    }

values()

Array values	(	const Size	i,
		const Array &	x
	)

call cost values i computation and increment evaluation counter

Definition at line 155 of file problem_mt.hpp.

                                                                {
        ++functionEvaluation_.at(i);
        return costFunctions_.at(i)->values(x);
    }

gradient()

void gradient	(	const Size	i,
		Array &	grad_f,
		const Array &	x
	)

call cost function i gradient computation and increment

Definition at line 160 of file problem_mt.hpp.

                                                                                {
        ++gradientEvaluation_.at(i);
        costFunctions_[i]->gradient(grad_f, x);
    }

valueAndGradient()

Real valueAndGradient	(	const Size	i,
		Array &	grad_f,
		const Array &	x
	)

call cost function i computation and it gradient

Definition at line 165 of file problem_mt.hpp.

                                                             {
        ++functionEvaluation_.at(i);
        ++gradientEvaluation_.at(i);
        return costFunctions_[i]->valueAndGradient(grad_f, x);
    }

constraint()

Constraint & constraint

(

)

const

Constraint.

Definition at line 99 of file problem_mt.hpp.

{ return constraint_; }

Here is the caller graph for this function:

availableCostFunctions()

Integer availableCostFunctions

(

)

const

number of available independent cost functions

Definition at line 102 of file problem_mt.hpp.

{ return costFunctions_.size(); }

costFunction()

QuantLib::ext::shared_ptr< CostFunction > costFunction

(

const Size

i

)

const

Cost function.

Definition at line 105 of file problem_mt.hpp.

{ return costFunctions_.at(i); }

costFunctions()

const std::vector< QuantLib::ext::shared_ptr< CostFunction > > & costFunctions

(

)

const

Cost funcionts.

Definition at line 108 of file problem_mt.hpp.

{ return costFunctions_; }

Here is the caller graph for this function:

setCurrentValue()

void setCurrentValue

(

const Array &

currentValue

)

Definition at line 110 of file problem_mt.hpp.

                                                        {
            currentValue_=currentValue;
        }

Here is the call graph for this function:

Here is the caller graph for this function:

currentValue()

const Array & currentValue

(

)

const

current value of the local minimum

Definition at line 115 of file problem_mt.hpp.

{ return currentValue_; }

Here is the caller graph for this function:

setFunctionValue()

void setFunctionValue

(

Real

functionValue

)

Definition at line 117 of file problem_mt.hpp.

                                                  {
            functionValue_=functionValue;
        }

Here is the call graph for this function:

Here is the caller graph for this function:

functionValue()

Real functionValue

(

)

const

value of cost function

Definition at line 122 of file problem_mt.hpp.

{ return functionValue_; }

Here is the caller graph for this function:

setGradientNormValue()

void setGradientNormValue

(

Real

squaredNorm

)

Definition at line 124 of file problem_mt.hpp.

                                                    {
            squaredNorm_=squaredNorm;
        }

gradientNormValue()

Real gradientNormValue

(

)

const

value of cost function gradient norm

Definition at line 128 of file problem_mt.hpp.

{ return squaredNorm_; }

functionEvaluation()

Integer functionEvaluation

(

)

const

number of evaluation of cost function

Definition at line 179 of file problem_mt.hpp.

                                                        {
        Integer tmp = 0;
        for (Size i = 0; i < costFunctions_.size(); ++i)
            tmp += functionEvaluation_.at(i);
        return tmp;
    }

gradientEvaluation()

Integer gradientEvaluation

(

)

const

number of evaluation of cost function gradient

Definition at line 186 of file problem_mt.hpp.

                                                        {
        Integer tmp = 0;
        for (Size i = 0; i < costFunctions_.size(); ++i)
            tmp += gradientEvaluation_.at(i);
        return tmp;
    }

Member Data Documentation

costFunctions_

std::vector<QuantLib::ext::shared_ptr<CostFunction> > costFunctions_

protected

Unconstrained cost function.

Definition at line 138 of file problem_mt.hpp.

constraint_

Constraint& constraint_

protected

Constraint.

Definition at line 140 of file problem_mt.hpp.

currentValue_

Array currentValue_

protected

current value of the local minimum

Definition at line 142 of file problem_mt.hpp.

functionValue_

Real functionValue_

protected

function and gradient norm values at the curentValue_ (i.e. the last step)

Definition at line 144 of file problem_mt.hpp.

squaredNorm_

Real squaredNorm_

protected

Definition at line 144 of file problem_mt.hpp.

functionEvaluation_

std::vector<Integer> functionEvaluation_

protected

number of evaluation of cost function and its gradient

Definition at line 146 of file problem_mt.hpp.

gradientEvaluation_

std::vector<Integer> gradientEvaluation_

protected

Definition at line 146 of file problem_mt.hpp.