/usr/include/ql/math/optimization/armijo.hpp is in libquantlib0-dev 1.7.1-1.
This file is owned by root:root, with mode 0o644.
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/*
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 armijo.hpp
\brief Armijo line-search class
*/
#ifndef quantlib_optimization_armijo_hpp
#define quantlib_optimization_armijo_hpp
#include <ql/math/optimization/linesearch.hpp>
namespace QuantLib {
class EndCriteria;
//! Armijo line search.
/*! Let \f$ \alpha \f$ and \f$ \beta \f$ be 2 scalars in \f$ [0,1]
\f$. Let \f$ x \f$ be the current value of the unknown, \f$ d
\f$ the search direction and \f$ t \f$ the step. Let \f$ f \f$
be the function to minimize. The line search stops when \f$ t
\f$ verifies
\f[ f(x + t \cdot d) - f(x) \leq -\alpha t f'(x+t \cdot d) \f]
and
\f[ f(x+\frac{t}{\beta} \cdot d) - f(x) > -\frac{\alpha}{\beta}
t f'(x+t \cdot d) \f]
(see Polak, Algorithms and consistent approximations, Optimization,
volume 124 of Applied Mathematical Sciences, Springer-Verlag, NY,
1997)
*/
class ArmijoLineSearch : public LineSearch {
public:
//! Default constructor
ArmijoLineSearch(Real eps = 1e-8,
Real alpha = 0.05,
Real beta = 0.65)
: LineSearch(eps), alpha_(alpha), beta_(beta) {}
//! Perform line search
Real operator()(Problem& P, // Optimization problem
EndCriteria::Type& ecType,
const EndCriteria&,
const Real t_ini); // initial value of line-search step
private:
Real alpha_, beta_;
};
}
#endif
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