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

/*

 Copyright (C) 2009 Frédéric Degraeve

 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 bfgs.hpp

    \brief Broyden-Fletcher-Goldfarb-Shanno optimization method

*/

#ifndef quantlib_optimization_bfgs_hpp

#define quantlib_optimization_bfgs_hpp

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

#include <ql/math/matrix.hpp>

namespace QuantLib {

    //! Broyden-Fletcher-Goldfarb-Shanno algorithm

    /*! See <http://en.wikipedia.org/wiki/BFGS_method>.

        Adapted from Numerical Recipes in C, 2nd edition.

        User has to provide line-search method and optimization end criteria.

    */

    class BFGS: public LineSearchBasedMethod {

      public:

        BFGS(const ext::shared_ptr<LineSearch>& lineSearch =

                                              ext::shared_ptr<LineSearch>())

        : LineSearchBasedMethod(lineSearch) {}

      private:

        //! \name LineSearchBasedMethod interface

        //@{

        Array getUpdatedDirection(const Problem& P, Real gold2, const Array& oldGradient) override;

        //@}

        //! inverse of hessian matrix

        Matrix inverseHessian_;

    };

}

#endif