/*
 Copyright (C) 2001, 2002 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 ferdinando@ametrano.net
 The license is also available online at http://quantlib.org/html/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.
*/
/*! \file linesearch.hpp
    \brief Line search abstract class

    \fullpath
    ql/Optimization/%linesearch.hpp
*/

#ifndef quantlib_optimization_line_search_h_
#define quantlib_optimization_line_search_h_

#include <ql/Optimization/problem.hpp>

namespace QuantLib {

    namespace Optimization {

        //! Base class for line search
        class LineSearch {
          public:
            //! Default constructor
            LineSearch(double eps = 1e-8)
            : 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
            double lastFunctionValue() { return qt_; }
            //! return last gradient
            const Array& lastGradient() { return gradient_; }
            //! return square norm of last gradient
            double lastGradientNorm2() { return qpt_;}

            bool succeed() { return succeed_; }

            //! Perform line search
            virtual double operator()(Problem &P, double t_ini) = 0;

            double update(Array& params, 
                          const Array& direction,
                          double beta,
                          const Constraint& constraint);

          protected:
            //! new x and its gradient
            Array xtd_, gradient_;
            //! cost function value and gradient norm corresponding to xtd_
            double qt_, qpt_;
            //! flag to know if linesearch succeed
            bool succeed_;

        };


        inline double LineSearch::update(
            Array& params, const Array& direction, double beta,
            const Constraint& constraint) {

            double diff=beta;

            Array newParams = params + diff*direction;
            bool valid = constraint.test(newParams);
            int icount = 0;
            while (!valid) {
                if (icount > 200)
                    throw Error("Can't update linesearch");
                diff *= 0.5;
                icount ++;
        
                newParams = params + diff*direction;
                valid = constraint.test(newParams);
            }

            params += diff*direction;
            return diff;
        }

    }

}

#endif
