constraint.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
 Copyright (C) 2012 Mateusz Kapturski
 
 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.
*/
 
/*! \file constraint.hpp
    \brief Abstract constraint class
*/
 
#ifndef quantlib_optimization_constraint_h
#define quantlib_optimization_constraint_h
 
#include <ql/math/array.hpp>
#include <algorithm>
#include <utility>
 
namespace QuantLib {
 
    //! Base constraint class
    class Constraint {
      protected:
        //! Base class for constraint implementations
        class Impl {
          public:
            virtual ~Impl() = default;
            //! Tests if params satisfy the constraint
            virtual bool test(const Array& params) const = 0;
            //! Returns upper bound for given parameters
            virtual Array upperBound(const Array& params) const {
                return Array(params.size(),
                             std::numeric_limits < Array::value_type > ::max());
            }
            //! Returns lower bound for given parameters
            virtual Array lowerBound(const Array& params) const {
                return Array(params.size(),
                             -std::numeric_limits < Array::value_type > ::max());
            }
        };
        ext::shared_ptr<Impl> impl_;
      public:
        bool empty() const { return !impl_; }
        bool test(const Array& p) const { return impl_->test(p); }
        Array upperBound(const Array& params) const {
            Array result = impl_->upperBound(params);
            QL_REQUIRE(params.size() == result.size(),
                       "upper bound size (" << result.size()
                                            << ") not equal to params size ("
                                            << params.size() << ")");
            return result;
        }
        Array lowerBound(const Array& params) const {
            Array result = impl_->lowerBound(params);
            QL_REQUIRE(params.size() == result.size(),
                       "lower bound size (" << result.size()
                                            << ") not equal to params size ("
                                            << params.size() << ")");
            return result;
        }
        Real update(Array& p, const Array& direction, Real beta) const;
        Constraint(ext::shared_ptr<Impl> impl = ext::shared_ptr<Impl>());
    };
 
    //! No constraint
    class NoConstraint : public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            bool test(const Array&) const override { return true; }
        };
      public:
        NoConstraint()
        : Constraint(ext::shared_ptr<Constraint::Impl>(
                                                   new NoConstraint::Impl)) {}
    };
 
    //! %Constraint imposing positivity to all arguments
    class PositiveConstraint : public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            bool test(const Array& params) const override {
                return std::all_of(params.begin(), params.end(), [](Real p) { return p > 0.0; });
            }
            Array upperBound(const Array& params) const override {
                return Array(params.size(),
                             std::numeric_limits < Array::value_type > ::max());
            }
            Array lowerBound(const Array& params) const override {
                return Array(params.size(), 0.0);
            }
        };
      public:
        PositiveConstraint()
        : Constraint(ext::shared_ptr<Constraint::Impl>(
                                             new PositiveConstraint::Impl)) {}
    };
 
    //! %Constraint imposing all arguments to be in [low,high]
    class BoundaryConstraint : public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            Impl(Real low, Real high)
            : low_(low), high_(high) {}
            bool test(const Array& params) const override {
                return std::all_of(params.begin(), params.end(), [this](Real p) { return low_ <= p && p <= high_; });
            }
            Array upperBound(const Array& params) const override {
                return Array(params.size(), high_);
            }
            Array lowerBound(const Array& params) const override {
                return Array(params.size(), low_);
            }
 
          private:
            Real low_, high_;
        };
      public:
        BoundaryConstraint(Real low, Real high)
        : Constraint(ext::shared_ptr<Constraint::Impl>(
                                  new BoundaryConstraint::Impl(low, high))) {}
    };
 
    //! %Constraint enforcing both given sub-constraints
    class CompositeConstraint : public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            Impl(Constraint c1, Constraint c2) : c1_(std::move(c1)), c2_(std::move(c2)) {}
            bool test(const Array& params) const override {
                return c1_.test(params) && c2_.test(params);
            }
            Array upperBound(const Array& params) const override {
                Array c1ub = c1_.upperBound(params);
                Array c2ub = c2_.upperBound(params);
                Array rtrnArray(c1ub.size(), 0.0);
                for (Size iter = 0; iter < c1ub.size(); iter++) {
                    rtrnArray.at(iter) = std::min(c1ub.at(iter), c2ub.at(iter));
                }
                return rtrnArray;
            }
            Array lowerBound(const Array& params) const override {
                Array c1lb = c1_.lowerBound(params);
                Array c2lb = c2_.lowerBound(params);
                Array rtrnArray(c1lb.size(), 0.0);
                for (Size iter = 0; iter < c1lb.size(); iter++) {
                    rtrnArray.at(iter) = std::max(c1lb.at(iter), c2lb.at(iter));
                }
                return rtrnArray;
            }
 
          private:
            Constraint c1_, c2_;
        };
      public:
        CompositeConstraint(const Constraint& c1, const Constraint& c2)
        : Constraint(ext::shared_ptr<Constraint::Impl>(
                                     new CompositeConstraint::Impl(c1,c2))) {}
    };
 
    //! %Constraint imposing i-th argument to be in [low_i,high_i] for all i
    class NonhomogeneousBoundaryConstraint: public Constraint {
      private:
        class Impl final : public Constraint::Impl {
          public:
            Impl(Array low, Array high) : low_(std::move(low)), high_(std::move(high)) {
                QL_ENSURE(low_.size()==high_.size(),
                          "Upper and lower boundaries sizes are inconsistent.");
            }
            bool test(const Array& params) const override {
                QL_ENSURE(params.size()==low_.size(),
                          "Number of parameters and boundaries sizes are inconsistent.");
                for (Size i = 0; i < params.size(); i++) {
                    if ((params[i] < low_[i]) || (params[i] > high_[i]))
                        return false;
                }
                return true;
            }
            Array upperBound(const Array&) const override { return high_; }
            Array lowerBound(const Array&) const override { return low_; }
 
          private:
            Array low_, high_;
        };
      public:
        NonhomogeneousBoundaryConstraint(const Array& low, const Array& high)
        : Constraint(ext::shared_ptr<Constraint::Impl>(
              new NonhomogeneousBoundaryConstraint::Impl(low, high))) {}
    };
 
}
 
#endif