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

/*

 Copyright (C) 2006 Ferdinando Ametrano

 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

 <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 linesearch.hpp

    \brief Line search abstract class

*/

#ifndef quantlib_optimization_line_search_h_

#define quantlib_optimization_line_search_h_

#include <ql/math/array.hpp>

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

namespace QuantLib {

    class Problem;

    class Constraint;

    class EndCriteria;

    //! Base class for line search

    class LineSearch {

      public:

        //! Default constructor

        explicit LineSearch(Real = 0.0) {}

        //! Destructor

        virtual ~LineSearch() = default;

        //! return last x value

        const Array& lastX() { return xtd_; }

        //! return last cost function value

        Real lastFunctionValue() const { return qt_; }

        //! return last gradient

        const Array& lastGradient() { return gradient_; }

        //! return square norm of last gradient

        Real lastGradientNorm2() const { return qpt_; }

        bool succeed() const { return succeed_; }

        //! Perform line search

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

                                EndCriteria::Type& ecType,

                                const EndCriteria&,

                                Real t_ini) = 0; // initial value of line-search step

        Real update(Array& params,

                    const Array& direction,

                    Real beta,

                    const Constraint& constraint);

        //! current value of the search direction

        const Array& searchDirection() const { return searchDirection_; }

        Array& searchDirection() { return searchDirection_; }

      protected:

        //! current values of the search direction

        Array searchDirection_;

        //! new x and its gradient

        Array xtd_, gradient_;

        //! cost function value and gradient norm corresponding to xtd_

        Real qt_ = 0.0, qpt_ = 0.0;

        //! flag to know if linesearch succeed

        bool succeed_ = true;

    };

}

#endif