Logo Search packages:      
Sourcecode: quantlib version File versions

armijo.cpp

/* -*- 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/reference/license.html>.

 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/Optimization/armijo.hpp>

namespace QuantLib {

00024     Real ArmijoLineSearch::operator()(const Problem& P,
                                      Real t_ini)
    {
        OptimizationMethod& method = P.method();
        Constraint& constraint = P.constraint();
        succeed_=true;
        bool maxIter = false;
        Real qtold, t = t_ini;
        Size loopNumber = 0;

        Array& x = method.x();
        Array& d = method.searchDirection();
        Real q0 = method.functionValue();
        Real qp0 = method.gradientNormValue();

        qt_ = q0;
        qpt_ = (gradient_.empty()) ? qp0 : -DotProduct(gradient_,d);

        // Initialize gradient
        gradient_ = Array(x.size());
        // Compute new point
        xtd_ = x;
        t = update(xtd_, d, 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_ = x;
                t = update(xtd_, d, t, constraint);

                // Compute function value at the new point
                qt_ = P.value (xtd_);
                P.gradient (gradient_, xtd_);
                // and it squared norm
                maxIter = P.method().endCriteria().checkIterationNumber(loopNumber);
            } 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;
    }

}

Generated by  Doxygen 1.6.0   Back to index