/usr/include/ql/math/optimization/linesearch.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.
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2006 Ferdinando Ametrano
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.
*/
/*! \file linesearch.hpp
\brief Line search abstract class
*/
#ifndef quantlib_optimization_line_search_h_
#define quantlib_optimization_line_search_h_
#include <ql/math/array.hpp>
#include <ql/math/optimization/endcriteria.hpp>
namespace QuantLib {
class Problem;
class Constraint;
class EndCriteria;
//! Base class for line search
class LineSearch {
public:
//! Default constructor
LineSearch(Real = 0.0)
: qt_(0.0), qpt_(0.0), succeed_(true) {}
//! Destructor
virtual ~LineSearch() {}
//! return last x value
const Array& lastX() { return xtd_; }
//! return last cost function value
Real lastFunctionValue() { return qt_; }
//! return last gradient
const Array& lastGradient() { return gradient_; }
//! return square norm of last gradient
Real lastGradientNorm2() { return qpt_;}
bool succeed() { return succeed_; }
//! Perform line search
virtual Real operator()(Problem& P, // Optimization problem
EndCriteria::Type& ecType,
const EndCriteria&,
const Real t_ini) = 0; // initial value of line-search step
Real update(Array& params,
const Array& direction,
Real beta,
const Constraint& constraint);
//! current value of the search direction
const Array& searchDirection() const { return searchDirection_; }
Array& searchDirection() { return searchDirection_; }
protected:
//! current values of the search direction
Array searchDirection_;
//! new x and its gradient
Array xtd_, gradient_;
//! cost function value and gradient norm corresponding to xtd_
Real qt_, qpt_;
//! flag to know if linesearch succeed
bool succeed_;
};
}
#endif
|