armijo.cpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2001, 2002, 2003 Nicolas Di Césaré
 
 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/armijo.hpp>
#include <ql/math/optimization/method.hpp>
#include <ql/math/optimization/problem.hpp>
 
namespace QuantLib {
 
    Real ArmijoLineSearch::operator()(Problem& P,
                                      EndCriteria::Type& ecType,
                                      const EndCriteria& endCriteria,
                                      const Real t_ini)
    {
        //OptimizationMethod& method = P.method();
        Constraint& constraint = P.constraint();
        succeed_=true;
        bool maxIter = false;
        Real qtold, t = t_ini;
        Size loopNumber = 0;
 
        Real q0 = P.functionValue();
        Real qp0 = P.gradientNormValue();
 
        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_);
 
        // Enter in the loop if the criterion is not satisfied
        if ((qt_-q0) > -alpha_*t*qpt_) {
            do {
                loopNumber++;
                // Decrease step
                t *= beta_;
                // Store old value of the function
                qtold = qt_;
                // 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);
            } while (
                     (((qt_ - q0) > (-alpha_ * t * qpt_)) ||
                      ((qtold - q0) <= (-alpha_ * t * qpt_ / beta_))) &&
                     (!maxIter));
        }
 
        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;
    }
 
}