/usr/include/ql/math/optimization/constraint.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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/*
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>
namespace QuantLib {
//! Base constraint class
class Constraint {
protected:
//! Base class for constraint implementations
class Impl {
public:
virtual ~Impl() {}
//! 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 > ::min());
}
};
boost::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);
Constraint(const boost::shared_ptr<Impl>& impl =
boost::shared_ptr<Impl>());
};
//! No constraint
class NoConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
bool test(const Array&) const {
return true;
}
};
public:
NoConstraint()
: Constraint(boost::shared_ptr<Constraint::Impl>(
new NoConstraint::Impl)) {}
};
//! %Constraint imposing positivity to all arguments
class PositiveConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
bool test(const Array& params) const {
for (Size i=0; i<params.size(); ++i) {
if (params[i] <= 0.0)
return false;
}
return true;
}
Array upperBound(const Array& params) const {
return Array(params.size(),
std::numeric_limits < Array::value_type > ::max());
}
Array lowerBound(const Array& params) const {
return Array(params.size(), 0.0);
}
};
public:
PositiveConstraint()
: Constraint(boost::shared_ptr<Constraint::Impl>(
new PositiveConstraint::Impl)) {}
};
//! %Constraint imposing all arguments to be in [low,high]
class BoundaryConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
Impl(Real low, Real high)
: low_(low), high_(high) {}
bool test(const Array& params) const {
for (Size i=0; i<params.size(); i++) {
if ((params[i] < low_) || (params[i] > high_))
return false;
}
return true;
}
Array upperBound(const Array& params) const {
return Array(params.size(), high_);
}
Array lowerBound(const Array& params) const {
return Array(params.size(), low_);
}
private:
Real low_, high_;
};
public:
BoundaryConstraint(Real low, Real high)
: Constraint(boost::shared_ptr<Constraint::Impl>(
new BoundaryConstraint::Impl(low, high))) {}
};
//! %Constraint enforcing both given sub-constraints
class CompositeConstraint : public Constraint {
private:
class Impl : public Constraint::Impl {
public:
Impl(const Constraint& c1,
const Constraint& c2)
: c1_(c1), c2_(c2) {}
bool test(const Array& params) const {
return c1_.test(params) && c2_.test(params);
}
Array upperBound(const Array& params) const {
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 {
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(boost::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: public Constraint::Impl {
public:
Impl(const Array& low, const Array& high) :
low_(low), high_(high) {
QL_ENSURE(low_.size()==high_.size(),
"Upper and lower boundaries sizes are inconsistent.");
}
bool test(const Array& params) const {
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 {
return high_;
}
Array lowerBound(const Array&) const {
return low_;
}
private:
Array low_, high_;
};
public:
NonhomogeneousBoundaryConstraint(Array low, Array high)
: Constraint(boost::shared_ptr <Constraint::Impl>(
new NonhomogeneousBoundaryConstraint::Impl(low, high))) {
}
};
}
#endif
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