/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*

 Copyright (C) 2015 Cheng Li

 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 goldstein.hpp

    \brief Goldstein and Price line-search class

*/

#ifndef quantlib_optimization_goldstein_hpp

#define quantlib_optimization_goldstein_hpp

#include <ql/math/optimization/linesearch.hpp>

namespace QuantLib {

    class GoldsteinLineSearch : public LineSearch {

      public:

        //! Default constructor

        GoldsteinLineSearch(Real eps = 1e-8,

                            Real alpha = 0.05,

                            Real beta = 0.65,

                            Real extrapolation = 1.5)

        : LineSearch(eps), alpha_(alpha), beta_(beta), extrapolation_(extrapolation) {}

        //! Perform line search

        Real operator()(Problem& P, // Optimization problem

                        EndCriteria::Type& ecType,

                        const EndCriteria&,

                        Real t_ini) override; // initial value of line-search step

      private:

        Real alpha_, beta_;

        Real extrapolation_;

    };

}

#endif