
/*
 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/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 steepestdescent.hpp
    \brief Steepest descent optimization method
*/

#ifndef quantlib_optimization_steepest_descent_h
#define quantlib_optimization_steepest_descent_h

#include <ql/Optimization/armijo.hpp>

namespace QuantLib {

    //! Multi-dimensional steepest-descent class
    /*! User has to provide line-search method and optimization end criteria

        search direction \f$ = - f'(x) \f$
    */
    class SteepestDescent : public OptimizationMethod {
      public:
        //! default default constructor (msvc bug)
        SteepestDescent()
        : lineSearch_(Handle<LineSearch>(new ArmijoLineSearch())) {}

        //! default constructor
        SteepestDescent(const Handle<LineSearch>& lineSearch)
        : lineSearch_(lineSearch) {}
        //! destructor
        virtual ~SteepestDescent() {}

        //! minimize the optimization problem P
        virtual void minimize(const Problem& P) const;
      private:
        //! line search
        Handle<LineSearch> lineSearch_;
    };

}


#endif
