/*
 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 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 armijo.hpp
    \brief Armijo line-search class

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

#ifndef quantlib_optimization_armijo_h
#define quantlib_optimization_armijo_h

#include "ql/Optimization/linesearch.hpp"

namespace QuantLib {

    namespace Optimization {

        /*!
          Armijo linesearch.

          Let alpha and beta be 2 scalars in [0,1].
          Let x be the current value of the unknow, d the search direction and
          t the step. Let f be the function to minimize.
          The line search stop when t verifies
          f(x+t*d) - f(x) <= -alpha*t*f'(x+t*d) and
          f(x+t/beta*d) - f(x) > -alpha*t*f'(x+t*d)/beta

          (see Polak. Algorithms and consitent approximations, Optimization,
          volume 124 of Applied Mathematical Sciences. Springer-Arrayerlag, N-Y,
          1997)
        */
        class ArmijoLineSearch : public LineSearch {
          public:
            //! Default constructor
            ArmijoLineSearch(double eps = 1e-8,
                             double alpha = 0.5,
                             double beta = 0.65)
            : LineSearch(eps), alpha_(alpha), beta_(beta) {}
            //! Destructor
            virtual ~ArmijoLineSearch () {}

            //! Perform line search
            virtual double operator() (
                const Problem& P,  // Optimization problem
                double t_ini);     // initial value of line-search step
          private:
            //! Armijo paramters
            double alpha_, beta_;
        };

    }

}


#endif
