method_mt.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006, 2007 Ferdinando Ametrano
 Copyright (C) 2001, 2002, 2003 Nicolas Di C�sar�
 Copyright (C) 2007 Fran�ois du Vignaud
 
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/*
 Copyright (C) 2016 Quaternion Risk Management Ltd.
 All rights reserved.
 
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 ORE is free software: you can redistribute it and/or modify it
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/*! \file method_mt.hpp
    \brief Abstract multithreaded optimization method class
*/
 
#ifndef quantext_optimization_method_mt_h
#define quantext_optimization_method_mt_h
 
#include <ql/math/optimization/endcriteria.hpp>
 
#include <qle/math/problem_mt.hpp>
 
namespace QuantExt {
using namespace QuantLib;
 
    class Problem_MT;
 
    //! Abstract class for constrained optimization method
 
    // the mt variants of method and problem are separated from
    // the standard variants currently, the inheritance here at
    // least allows to have a common base class for both variants
    // of methods, but the minimize call is still not compatible
    // between mt and standard variants.
 
    class OptimizationMethod_MT : public OptimizationMethod {
    public:
        virtual ~OptimizationMethod_MT() {}
 
        //! minimize the optimization problem P
        virtual EndCriteria::Type minimize(Problem_MT& P,
                                           const EndCriteria& endCriteria) = 0;
 
        EndCriteria::Type minimize(Problem&, const EndCriteria&) override {
            QL_FAIL("OptimizationMethod_MT requires Problem_MT, got Problem");
        }
 
    };
 
}
 
#endif