/////////////////////////////////////////////////////////////////////////////
//
// This file contains the implementation of the quasi-newton BFGS 
// optimization algorithm. BFGS is implemented according to 
//
// Dennis and Schnabel, Numerical Methods for Unconstrained Optimization and 
// Nonlinear Equations 1983, Prentice-Hall
//
// Copyright © 2000
//
// DTU Image Viever and Analyser (DIVA)
// Department of Mathematical Modelling
// Technical University of Denmark (DTU), Building 321
// DK-2800 Lyngby, Denmark
// http://www.imm.dtu.dk/~diva
//
// author: Per Andresen and Rune Fisker 
//
// Disclaimer:
//
// No guarantees of performance accompany this software,
// nor is any responsibility assumed on the part of the author(s).
// The software has been tested extensively and every effort has been
// made to insure its reliability.
//
// This software is provided by IMM and the contributor(s) ``as is'' and
// any express or implied warranties, including, but not limited to, the
// implied warranties of merchantability and fitness for a particular purpose
// are disclaimed.  In no event shall IMM or the contributor(s) be liable
// for any direct, indirect, incidental, special, exemplary, or consequential
// damages (including, but not limited to, procurement of substitute goods
// or services; loss of use, data, or profits; or business interruption)
// however caused and on any theory of liability, whether in contract, strict
// liability, or tort (including negligence or otherwise) arising in any way
// out of the use of this software, even if advised of the possibility of
// such damage.
//
// This software is partly based on the Microsoft Vision Software Developers Kit VisSDK
//
/////////////////////////////////////////////////////////////////////////////

#include "DOptimizeBase.h"

#if !defined(CD_OPTIMIZE_BFGS)
#define CD_OPTIMIZE_BFGS

#define abs(x) ((x) >= 0 ? (x) : -(x))

class CDOptimizeBFGS : public CDOptimizeBase
{

public:
	// constructor/destructor
	DIVAOptExport CDOptimizeBFGS(){};
	~CDOptimizeBFGS(){};

	// the Minimize function using analytic gradient
	DIVAOptExport virtual ETermCode Minimize(CDVector& x, CDOptimizeFuncBase* pFuncEvalBase); 

	// name of optimization methode
	DIVAOptExport virtual CString Name() {return "BFGS";}
	DIVAOptExport virtual EOptMethod OptMethod() {return eoptBFGS;}

private:
	void BFGSUnFac(CDVector& xc, CDVector& xplus, CDVector& gc, CDVector& gplus, CVisDMatrix& Hc);

	// intialize the hessian
	void InitHessUnFac(double fc, CVisDMatrix& Hc);

	void ModelHess(CVisDMatrix& mH);
};

#endif // CD_OPTIMIZE_BFGS