goldstein.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2015 Cheng Li
 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 <ql/math/optimization/goldstein.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/problem.hpp>
#include <ql/math/comparison.hpp>
 
namespace QuantLib {
 
    Real GoldsteinLineSearch::operator()(Problem& P, 
                                         EndCriteria::Type& ecType, 
                                         const EndCriteria& endCriteria, 
                                         const Real t_ini) 
    {
        Constraint& constraint = P.constraint();
        succeed_=true;
        bool maxIter = false;
        Real t = t_ini;
        Size loopNumber = 0;
 
        Real q0 = P.functionValue();
        Real qp0 = P.gradientNormValue();
        
        Real tl = 0.0;
        Real tr = 0.0;
 
        qt_ = q0;
        qpt_ = (gradient_.empty()) ? qp0 : -DotProduct(gradient_,searchDirection_);
 
        // Initialize gradient
        gradient_ = Array(P.currentValue().size());
        // Compute new point
        xtd_ = P.currentValue();
        t = update(xtd_, searchDirection_, t, constraint);
        // Compute function value at the new point
        qt_ = P.value (xtd_);
 
        while ((qt_ - q0) < -beta_*t*qpt_ || (qt_ - q0) > -alpha_*t*qpt_) {
            if ((qt_ - q0) > -alpha_*t*qpt_)
                tr = t;
            else
                tl = t;
            ++loopNumber;
            
            // calculate the new step
            if (close_enough(tr, 0.0))
                t *= extrapolation_;
            else
                t = (tl + tr) / 2.0;
 
            // New point value
            xtd_ = P.currentValue();
            t = update(xtd_, searchDirection_, t, constraint);
 
            // Compute function value at the new point
            qt_ = P.value (xtd_);
            P.gradient (gradient_, xtd_);
            // and it squared norm
            maxIter = endCriteria.checkMaxIterations(loopNumber, ecType);
 
            if (maxIter)
                break;
        }
 
        if (maxIter)
            succeed_ = false;
 
        // Compute new gradient
        P.gradient(gradient_, xtd_);
        // and it squared norm
        qpt_ = DotProduct(gradient_, gradient_);
 
        // Return new step value
        return t;
    }
 
}