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

/*

 Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb

 Copyright (C) 2012 Mateusz Kapturski

 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

 <https://www.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 constraint.hpp

    \brief Abstract constraint class

*/

#ifndef quantlib_optimization_constraint_h

#define quantlib_optimization_constraint_h

#include <ql/math/array.hpp>

#include <algorithm>

#include <utility>

namespace QuantLib {

    //! Base constraint class

    class Constraint {

      protected:

        //! Base class for constraint implementations

        class Impl {

          public:

            virtual ~Impl() = default;

            //! Tests if params satisfy the constraint

            virtual bool test(const Array& params) const = 0;

            //! Returns upper bound for given parameters

            virtual Array upperBound(const Array& params) const {

                return Array(params.size(),

                             std::numeric_limits < Array::value_type > ::max());

            }

            //! Returns lower bound for given parameters

            virtual Array lowerBound(const Array& params) const {

                return Array(params.size(),

                             -std::numeric_limits < Array::value_type > ::max());

            }

        };

        ext::shared_ptr<Impl> impl_;

      public:

        bool empty() const { return !impl_; }

        bool test(const Array& p) const { return impl_->test(p); }

        Array upperBound(const Array& params) const {

            Array result = impl_->upperBound(params);

            QL_REQUIRE(params.size() == result.size(),

                       "upper bound size (" << result.size()

                                            << ") not equal to params size ("

                                            << params.size() << ")");

            return result;

        }

        Array lowerBound(const Array& params) const {

            Array result = impl_->lowerBound(params);

            QL_REQUIRE(params.size() == result.size(),

                       "lower bound size (" << result.size()

                                            << ") not equal to params size ("

                                            << params.size() << ")");

            return result;

        }

        Real update(Array& p, const Array& direction, Real beta) const;

        Constraint(ext::shared_ptr<Impl> impl = ext::shared_ptr<Impl>());

    };

    //! No constraint

    class NoConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            bool test(const Array&) const override { return true; }

        };

      public:

        NoConstraint()

        : Constraint(ext::shared_ptr<Constraint::Impl>(

                                                   new NoConstraint::Impl)) {}

    };

    //! %Constraint imposing positivity to all arguments

    class PositiveConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            bool test(const Array& params) const override {

                return std::all_of(params.begin(), params.end(), [](Real p) { return p > 0.0; });

            }

            Array upperBound(const Array& params) const override {

                return Array(params.size(),

                             std::numeric_limits < Array::value_type > ::max());

            }

            Array lowerBound(const Array& params) const override {

                return Array(params.size(), 0.0);

            }

        };

      public:

        PositiveConstraint()

        : Constraint(ext::shared_ptr<Constraint::Impl>(

                                             new PositiveConstraint::Impl)) {}

    };

    //! %Constraint imposing all arguments to be in [low,high]

    class BoundaryConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            Impl(Real low, Real high)

            : low_(low), high_(high) {}

            bool test(const Array& params) const override {

                return std::all_of(params.begin(), params.end(), [this](Real p) { return low_ <= p && p <= high_; });

            }

            Array upperBound(const Array& params) const override {

                return Array(params.size(), high_);

            }

            Array lowerBound(const Array& params) const override {

                return Array(params.size(), low_);

            }

          private:

            Real low_, high_;

        };

      public:

        BoundaryConstraint(Real low, Real high)

        : Constraint(ext::shared_ptr<Constraint::Impl>(

                                  new BoundaryConstraint::Impl(low, high))) {}

    };

    //! %Constraint enforcing both given sub-constraints

    class CompositeConstraint : public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            Impl(Constraint c1, Constraint c2) : c1_(std::move(c1)), c2_(std::move(c2)) {}

            bool test(const Array& params) const override {

                return c1_.test(params) && c2_.test(params);

            }

            Array upperBound(const Array& params) const override {

                Array c1ub = c1_.upperBound(params);

                Array c2ub = c2_.upperBound(params);

                Array rtrnArray(c1ub.size(), 0.0);

                for (Size iter = 0; iter < c1ub.size(); iter++) {

                    rtrnArray.at(iter) = std::min(c1ub.at(iter), c2ub.at(iter));

                }

                return rtrnArray;

            }

            Array lowerBound(const Array& params) const override {

                Array c1lb = c1_.lowerBound(params);

                Array c2lb = c2_.lowerBound(params);

                Array rtrnArray(c1lb.size(), 0.0);

                for (Size iter = 0; iter < c1lb.size(); iter++) {

                    rtrnArray.at(iter) = std::max(c1lb.at(iter), c2lb.at(iter));

                }

                return rtrnArray;

            }

          private:

            Constraint c1_, c2_;

        };

      public:

        CompositeConstraint(const Constraint& c1, const Constraint& c2)

        : Constraint(ext::shared_ptr<Constraint::Impl>(

                                     new CompositeConstraint::Impl(c1,c2))) {}

    };

    //! %Constraint imposing i-th argument to be in [low_i,high_i] for all i

    class NonhomogeneousBoundaryConstraint: public Constraint {

      private:

        class Impl final : public Constraint::Impl {

          public:

            Impl(Array low, Array high) : low_(std::move(low)), high_(std::move(high)) {

                QL_ENSURE(low_.size()==high_.size(),

                          "Upper and lower boundaries sizes are inconsistent.");

            }

            bool test(const Array& params) const override {

                QL_ENSURE(params.size()==low_.size(),

                          "Number of parameters and boundaries sizes are inconsistent.");

                for (Size i = 0; i < params.size(); i++) {

                    if ((params[i] < low_[i]) || (params[i] > high_[i]))

                        return false;

                }

                return true;

            }

            Array upperBound(const Array&) const override { return high_; }

            Array lowerBound(const Array&) const override { return low_; }

          private:

            Array low_, high_;

        };

      public:

        NonhomogeneousBoundaryConstraint(const Array& low, const Array& high)

        : Constraint(ext::shared_ptr<Constraint::Impl>(

              new NonhomogeneousBoundaryConstraint::Impl(low, high))) {}

    };

}

#endif