// Copyright (C) 2008  Davis E. King (davis@dlib.net)
// License: Boost Software License   See LICENSE.txt for the full license.
#ifndef DLIB_OPTIMIZATIOn_LINE_SEARCH_H_
#define DLIB_OPTIMIZATIOn_LINE_SEARCH_H_

#include <cmath>
#include <limits>
#include "../matrix.h"
#include "../algs.h"
#include "optimization_line_search_abstract.h"
#include <utility>

namespace dlib
{

// ----------------------------------------------------------------------------------------

    template <typename funct, typename T>
    class line_search_funct 
    {
    public:
        line_search_funct(const funct& f_, const T& start_, const T& direction_) 
            : f(f_),start(start_), direction(direction_), matrix_r(0), scalar_r(0)
        {}

        line_search_funct(const funct& f_, const T& start_, const T& direction_, T& r) 
            : f(f_),start(start_), direction(direction_), matrix_r(&r), scalar_r(0)
        {}

        line_search_funct(const funct& f_, const T& start_, const T& direction_, double& r) 
            : f(f_),start(start_), direction(direction_), matrix_r(0), scalar_r(&r)
        {}

        double operator()(const double& x) const
        {
            return get_value(f(start + x*direction));
        }

    private:

        double get_value (const double& r) const
        {
            // save a copy of this value for later
            if (scalar_r)
                *scalar_r = r;

            return r;
        }

        template <typename U>
        double get_value (const U& r) const
        {
            // U should be a matrix type
            COMPILE_TIME_ASSERT(is_matrix<U>::value);

            // save a copy of this value for later
            if (matrix_r)
                *matrix_r = r;

            return dot(r,direction);
        }

        const funct& f;
        const T& start;
        const T& direction;
        T* matrix_r;
        double* scalar_r;
    };

    template <typename funct, typename T>
    const line_search_funct<funct,T> make_line_search_function(const funct& f, const T& start, const T& direction) 
    { 
        COMPILE_TIME_ASSERT(is_matrix<T>::value);
        DLIB_ASSERT (
            is_col_vector(start) && is_col_vector(direction) && start.size() == direction.size(),
            "\tline_search_funct make_line_search_function(f,start,direction)"
            << "\n\tYou have to supply column vectors to this function"
            << "\n\tstart.nc():     " << start.nc()
            << "\n\tdirection.nc(): " << direction.nc()
            << "\n\tstart.nr():     " << start.nr()
            << "\n\tdirection.nr(): " << direction.nr()
        );
        return line_search_funct<funct,T>(f,start,direction); 
    }

// ----------------------------------------------------------------------------------------

    template <typename funct, typename T>
    const line_search_funct<funct,T> make_line_search_function(const funct& f, const T& start, const T& direction, double& f_out) 
    { 
        COMPILE_TIME_ASSERT(is_matrix<T>::value);
        DLIB_ASSERT (
            is_col_vector(start) && is_col_vector(direction) && start.size() == direction.size(),
            "\tline_search_funct make_line_search_function(f,start,direction)"
            << "\n\tYou have to supply column vectors to this function"
            << "\n\tstart.nc():     " << start.nc()
            << "\n\tdirection.nc(): " << direction.nc()
            << "\n\tstart.nr():     " << start.nr()
            << "\n\tdirection.nr(): " << direction.nr()
        );
        return line_search_funct<funct,T>(f,start,direction, f_out); 
    }

// ----------------------------------------------------------------------------------------

    template <typename funct, typename T>
    const line_search_funct<funct,T> make_line_search_function(const funct& f, const T& start, const T& direction, T& grad_out) 
    { 
        COMPILE_TIME_ASSERT(is_matrix<T>::value);
        DLIB_ASSERT (
            is_col_vector(start) && is_col_vector(direction) && start.size() == direction.size(),
            "\tline_search_funct make_line_search_function(f,start,direction)"
            << "\n\tYou have to supply column vectors to this function"
            << "\n\tstart.nc():     " << start.nc()
            << "\n\tdirection.nc(): " << direction.nc()
            << "\n\tstart.nr():     " << start.nr()
            << "\n\tdirection.nr(): " << direction.nr()
        );
        return line_search_funct<funct,T>(f,start,direction,grad_out); 
    }

// ----------------------------------------------------------------------------------------
// ----------------------------------------------------------------------------------------
// ----------------------------------------------------------------------------------------

    inline double poly_min_extrap (
        double f0,
        double d0,
        double f1,
        double d1
    )
    {
        const double n = 3*(f1 - f0) - 2*d0 - d1;
        const double e = d0 + d1 - 2*(f1 - f0);


        // find the minimum of the derivative of the polynomial

        double temp = std::max(n*n - 3*e*d0,0.0);

        if (temp < 0)
            return 0.5;

        temp = std::sqrt(temp);

        if (std::abs(e) <= std::numeric_limits<double>::epsilon())
            return 0.5;

        // figure out the two possible min values
        double x1 = (temp - n)/(3*e);
        double x2 = -(temp + n)/(3*e);

        // compute the value of the interpolating polynomial at these two points
        double y1 = f0 + d0*x1 + n*x1*x1 + e*x1*x1*x1;
        double y2 = f0 + d0*x2 + n*x2*x2 + e*x2*x2*x2;

        // pick the best point
        double x;
        if (y1 < y2)
            x = x1;
        else
            x = x2;

        // now make sure the minimum is within the allowed range of (0,1) 
        return put_in_range(0,1,x);
    }

// ----------------------------------------------------------------------------------------

    inline double poly_min_extrap (
        double f0,
        double d0,
        double f1
    )
    {
        const double temp = 2*(f1 - f0 - d0);
        if (std::abs(temp) <= d0*std::numeric_limits<double>::epsilon())
            return 0.5;

        const double alpha = -d0/temp;

        // now make sure the minimum is within the allowed range of (0,1) 
        return put_in_range(0,1,alpha);
    }

// ----------------------------------------------------------------------------------------

    inline double poly_min_extrap (
        double f0,
        double d0,
        double x1,
        double f_x1,
        double x2,
        double f_x2
    )
    {
        DLIB_ASSERT(0 < x1 && x1 < x2,"Invalid inputs were given to this function");
        // The contents of this function follow the equations described on page 58 of the
        // book Numerical Optimization by Nocedal and Wright, second edition.
        matrix<double,2,2> m;
        matrix<double,2,1> v;

        const double aa2 = x2*x2;
        const double aa1 = x1*x1;
        m =  aa2,       -aa1,
            -aa2*x2, aa1*x1;   
        v = f_x1 - f0 - d0*x1,
            f_x2 - f0 - d0*x2;


        double temp = aa2*aa1*(x1-x2);

        // just take a guess if this happens
        if (temp == 0)
        {
            return x1/2.0;
        }

        matrix<double,2,1> temp2;
        temp2 = m*v/temp;
        const double a = temp2(0);
        const double b = temp2(1);

        temp = b*b - 3*a*d0;
        if (temp < 0 || a == 0)
        {
            // This is probably a line so just pick the lowest point
            if (f0 < f_x2)
                return 0;
            else
                return x2;
        }
        temp = (-b + std::sqrt(temp))/(3*a);
        return put_in_range(0, x2, temp);
    }

// ----------------------------------------------------------------------------------------

    inline double lagrange_poly_min_extrap (
        double p1, 
        double p2,
        double p3,
        double f1,
        double f2,
        double f3
    )
    {
        DLIB_ASSERT(p1 < p2 && p2 < p3 && f1 >= f2 && f2 <= f3,
                     "   p1: " << p1 
                     << "   p2: " << p2 
                     << "   p3: " << p3  
                     << "   f1: " << f1 
                     << "   f2: " << f2 
                     << "   f3: " << f3);

        // This formula is out of the book Nonlinear Optimization by Andrzej Ruszczynski.  See section 5.2.
        double temp1 =    f1*(p3*p3 - p2*p2) + f2*(p1*p1 - p3*p3) + f3*(p2*p2 - p1*p1);
        double temp2 = 2*(f1*(p3 - p2)       + f2*(p1 - p3)       + f3*(p2 - p1) );

        if (temp2 == 0)
        {
            return p2;
        }

        const double result = temp1/temp2;

        // do a final sanity check to make sure the result is in the right range
        if (p1 <= result && result <= p3)
        {
            return result;
        }
        else
        {
            return std::min(std::max(p1,result),p3);
        }
    }

// ----------------------------------------------------------------------------------------

    template <
        typename funct, 
        typename funct_der
        >
    double line_search (
        const funct& f, 
        const double f0,
        const funct_der& der, 
        const double d0,
        double rho, 
        double sigma, 
        double min_f,
        unsigned long max_iter 
    )
    {
        DLIB_ASSERT (
            0 < rho && rho < sigma && sigma < 1 && max_iter > 0,
            "\tdouble line_search()"
            << "\n\tYou have given invalid arguments to this function"
            << "\n\t sigma:    " << sigma
            << "\n\t rho:      " << rho 
            << "\n\t max_iter: " << max_iter 
        );

        // The bracketing phase of this function is implemented according to block 2.6.2 from
        // the book Practical Methods of Optimization by R. Fletcher.   The sectioning 
        // phase is an implementation of 2.6.4 from the same book.

        // tau1 > 1. Controls the alpha jump size during the search
        const double tau1 = 9;

        // it must be the case that 0 < tau2 < tau3 <= 1/2 for the algorithm to function
        // correctly but the specific values of tau2 and tau3 aren't super important.
        const double tau2 = 1.0/10.0;
        const double tau3 = 1.0/2.0;


        // Stop right away and return a step size of 0 if the gradient is 0 at the starting point
        if (std::abs(d0) < std::numeric_limits<double>::epsilon())
            return 0;

        // Stop right away if the current value is good enough according to min_f
        if (f0 <= min_f)
            return 0;

        // Figure out a reasonable upper bound on how large alpha can get.
        const double mu = (min_f-f0)/(rho*d0);


        double alpha = 1;
        if (mu < 0)
            alpha = -alpha;
        alpha = put_in_range(0, 0.65*mu, alpha);


        double last_alpha = 0;
        double last_val = f0;
        double last_val_der = d0;

        // The bracketing stage will find a range of points [a,b]
        // that contains a reasonable solution to the line search
        double a, b;

        // These variables will hold the values and derivatives of f(a) and f(b)
        double a_val, b_val, a_val_der, b_val_der;

        // This thresh value represents the Wolfe curvature condition
        const double thresh = std::abs(sigma*d0);

        unsigned long itr = 0;
        // do the bracketing stage to find the bracket range [a,b]
        while (true)
        {
            ++itr;
            const double val = f(alpha);
            const double val_der = der(alpha);

            // we are done with the line search since we found a value smaller
            // than the minimum f value
            if (val <= min_f)
                return alpha;

            if (val > f0 + rho*alpha*d0 || val >= last_val)
            {
                a_val = last_val;
                a_val_der = last_val_der;
                b_val = val;
                b_val_der = val_der;

                a = last_alpha;
                b = alpha;
                break;
            }

            if (std::abs(val_der) <= thresh)
                return alpha;

            // if we are stuck not making progress then quit with the current alpha
            if (last_alpha == alpha || itr >= max_iter)
                return alpha;

            if (val_der >= 0)
            {
                a_val = val;
                a_val_der = val_der;
                b_val = last_val;
                b_val_der = last_val_der;

                a = alpha;
                b = last_alpha;
                break;
            }

            if (mu <= 2*alpha - last_alpha)
            {
                last_alpha = alpha;
                alpha = mu;
            }
            else
            {
                const double temp = alpha;

                double first = 2*alpha - last_alpha;
                double last;
                if (mu > 0)
                    last = std::min(mu, alpha + tau1*(alpha - last_alpha));
                else
                    last = std::max(mu, alpha + tau1*(alpha - last_alpha));


                // pick a point between first and last by doing some kind of interpolation
                if (last_alpha < alpha)
                    alpha = last_alpha + (alpha-last_alpha)*poly_min_extrap(last_val, last_val_der, val, val_der);
                else
                    alpha = alpha + (last_alpha-alpha)*poly_min_extrap(val, val_der, last_val, last_val_der);

                alpha = put_in_range(first,last,alpha);


                last_alpha = temp;
            }

            last_val = val;
            last_val_der = val_der;

        }


        // Now do the sectioning phase from 2.6.4
        while (true)
        {
            ++itr;
            double first = a + tau2*(b-a);
            double last = b - tau3*(b-a);

            // use interpolation to pick alpha between first and last
            alpha = a + (b-a)*poly_min_extrap(a_val, a_val_der, b_val, b_val_der);
            alpha = put_in_range(first,last,alpha);

            const double val = f(alpha);
            const double val_der = der(alpha);

            // we are done with the line search since we found a value smaller
            // than the minimum f value or we ran out of iterations.
            if (val <= min_f || itr >= max_iter)
                return alpha;

            // stop if the interval gets so small that it isn't shrinking any more due to rounding error 
            if (a == first || b == last)
            {
                return b;
            }


            if (val > f0 + rho*alpha*d0 || val >= a_val)
            {
                b = alpha;
                b_val = val;
                b_val_der = val_der;
            }
            else
            {
                if (std::abs(val_der) <= thresh)
                    return alpha;

                if ( (b-a)*val_der >= 0)
                {
                    b = a;
                    b_val = a_val;
                    b_val_der = a_val_der;
                }

                a = alpha;
                a_val = val;
                a_val_der = val_der;
            }
        }
    }

// ----------------------------------------------------------------------------------------

    template <
        typename funct
        >
    double backtracking_line_search (
        const funct& f, 
        double f0,
        double d0,
        double alpha,
        double rho, 
        unsigned long max_iter 
    )
    {
        DLIB_ASSERT (
            0 < rho && rho < 1 && max_iter > 0,
            "\tdouble backtracking_line_search()"
            << "\n\tYou have given invalid arguments to this function"
            << "\n\t rho:      " << rho 
            << "\n\t max_iter: " << max_iter 
        );

        // make sure alpha is going in the right direction.  That is, it should be opposite
        // the direction of the gradient.
        if ((d0 > 0 && alpha > 0) ||
            (d0 < 0 && alpha < 0))
        {
            alpha *= -1;
        }

        bool have_prev_alpha = false;
        double prev_alpha = 0;
        double prev_val = 0;
        unsigned long iter = 0;
        while (true)
        {
            ++iter;
            const double val = f(alpha);
            if (val <= f0 + alpha*rho*d0 || iter >= max_iter)
            {
                return alpha;
            }
            else
            {
                // Interpolate a new alpha.  We also make sure the step by which we
                // reduce alpha is not super small.
                double step;
                if (!have_prev_alpha)
                {
                    if (d0 < 0)
                        step = alpha*put_in_range(0.1,0.9, poly_min_extrap(f0, d0, val));
                    else
                        step = alpha*put_in_range(0.1,0.9, poly_min_extrap(f0, -d0, val));
                    have_prev_alpha = true;
                }
                else
                {
                    if (d0 < 0)
                        step = put_in_range(0.1*alpha,0.9*alpha, poly_min_extrap(f0, d0, alpha, val, prev_alpha, prev_val));
                    else
                        step = put_in_range(0.1*alpha,0.9*alpha, -poly_min_extrap(f0, -d0, -alpha, val, -prev_alpha, prev_val));
                }

                prev_alpha = alpha;
                prev_val = val;

                alpha = step;
            }
        }
    }

// ----------------------------------------------------------------------------------------

    class optimize_single_variable_failure : public error {
    public: optimize_single_variable_failure(const std::string& s):error(s){}
    };

// ----------------------------------------------------------------------------------------

    template <typename funct>
    double find_min_single_variable (
        const funct& f,
        double& starting_point,
        const double begin = -1e200,
        const double end = 1e200,
        const double eps = 1e-3,
        const long max_iter = 100
    )
    {
        DLIB_CASSERT( eps > 0 &&
                      max_iter > 1 &&
                      begin <= starting_point && starting_point <= end,
                      "eps: " << eps
                      << "\n max_iter: "<< max_iter 
                      << "\n begin: "<< begin 
                      << "\n end:   "<< end 
                      << "\n starting_point: "<< starting_point 
        );

        double p1=0, p2=0, p3=0, f1=0, f2=0, f3=0;
        long f_evals = 1;

        if (begin == end)
        {
            return f(starting_point);
        }

        using std::abs;
        using std::min;
        using std::max;

        // find three bracketing points such that f1 > f2 < f3.   Do this by generating a sequence
        // of points expanding away from 0.   Also note that, in the following code, it is always the
        // case that p1 < p2 < p3.



        // The first thing we do is get a starting set of 3 points that are inside the [begin,end] bounds
        p1 = max(starting_point-1, begin);
        p3 = min(starting_point+1, end);
        f1 = f(p1);
        f3 = f(p3);

        if (starting_point == p1 || starting_point == p3)
        {
            p2 = (p1+p3)/2;
            f2 = f(p2);
        }
        else
        {
            p2 = starting_point;
            f2 = f(starting_point);
        }

        f_evals += 2;

        // Now we have 3 points on the function.  Start looking for a bracketing set such that
        // f1 > f2 < f3 is the case.
        double jump_size = 1;
        while ( !(f1 > f2 && f2 < f3))
        {
            // check for hitting max_iter or if the interval is now too small
            if (f_evals >= max_iter)
            {
                throw optimize_single_variable_failure(
                    "The max number of iterations of single variable optimization have been reached\n"
                    "without converging.");
            }
            if (p3-p1 < eps)
            {
                if (f1 < min(f2,f3)) 
                {
                    starting_point = p1;
                    return f1;
                }

                if (f2 < min(f1,f3)) 
                {
                    starting_point = p2;
                    return f2;
                }

                starting_point = p3;
                return f3;
            }

            // if f1 is small then take a step to the left
            if (f1 < f3)
            { 
                // check if the minimum is butting up against the bounds and if so then pick
                // a point between p1 and p2 in the hopes that shrinking the interval will
                // be a good thing to do.  Or if p1 and p2 aren't differentiated then try and
                // get them to obtain different values.
                if (p1 == begin || (f1 == f2 && (end-begin) < jump_size ))
                {
                    p3 = p2;
                    f3 = f2;

                    p2 = (p1+p2)/2.0;
                    f2 = f(p2);
                }
                else
                {
                    // pick a new point to the left of our current bracket
                    p3 = p2;
                    f3 = f2;

                    p2 = p1;
                    f2 = f1;

                    p1 = max(p1 - jump_size, begin);
                    f1 = f(p1);

                    jump_size *= 2;
                }

            }
            // otherwise f3 is small and we should take a step to the right
            else 
            {
                // check if the minimum is butting up against the bounds and if so then pick
                // a point between p2 and p3 in the hopes that shrinking the interval will
                // be a good thing to do.  Or if p2 and p3 aren't differentiated then try and
                // get them to obtain different values.
                if (p3 == end || (f2 == f3 && (end-begin) < jump_size))
                {
                    p1 = p2;
                    f1 = f2;

                    p2 = (p3+p2)/2.0;
                    f2 = f(p2);
                }
                else
                {
                    // pick a new point to the right of our current bracket
                    p1 = p2;
                    f1 = f2;

                    p2 = p3;
                    f2 = f3;

                    p3 = min(p3 + jump_size, end);
                    f3 = f(p3);

                    jump_size *= 2;
                }
            }

            ++f_evals;
        }


        // Loop until we have done the max allowable number of iterations or
        // the bracketing window is smaller than eps.
        // Within this loop we maintain the invariant that: f1 > f2 < f3 and p1 < p2 < p3
        const double tau = 0.1;
        while( f_evals < max_iter && p3-p1 > eps)
        {
            double p_min = lagrange_poly_min_extrap(p1,p2,p3, f1,f2,f3);


            // make sure p_min isn't too close to the three points we already have
            if (p_min < p2)
            {
                const double min_dist = (p2-p1)*tau;
                if (abs(p1-p_min) < min_dist) 
                {
                    p_min = p1 + min_dist;
                }
                else if (abs(p2-p_min) < min_dist)
                {
                    p_min = p2 - min_dist;
                }
            }
            else
            {
                const double min_dist = (p3-p2)*tau;
                if (abs(p2-p_min) < min_dist) 
                {
                    p_min = p2 + min_dist;
                }
                else if (abs(p3-p_min) < min_dist)
                {
                    p_min = p3 - min_dist;
                }
            }

            // make sure one side of the bracket isn't super huge compared to the other
            // side.  If it is then contract it.
            const double bracket_ratio = abs(p1-p2)/abs(p2-p3);
            if ( !( bracket_ratio < 100 && bracket_ratio > 0.01) )
            {
                // Force p_min to be on a reasonable side.  But only if lagrange_poly_min_extrap()
                // didn't put it on a good side already.
                if (bracket_ratio > 1 && p_min > p2)
                    p_min = (p1+p2)/2;
                else if (p_min < p2)
                    p_min = (p2+p3)/2;
            }


            const double f_min = f(p_min);


            // Remove one of the endpoints of our bracket depending on where the new point falls.
            if (p_min < p2)
            {
                if (f1 > f_min && f_min < f2)
                {
                    p3 = p2;
                    f3 = f2;
                    p2 = p_min;
                    f2 = f_min;
                }
                else
                {
                    p1 = p_min;
                    f1 = f_min;
                }
            }
            else
            {
                if (f2 > f_min && f_min < f3)
                {
                    p1 = p2;
                    f1 = f2;
                    p2 = p_min;
                    f2 = f_min;
                }
                else
                {
                    p3 = p_min;
                    f3 = f_min;
                }
            }


            ++f_evals;
        }

        if (f_evals >= max_iter)
        {
            throw optimize_single_variable_failure(
                "The max number of iterations of single variable optimization have been reached\n"
                "without converging.");
        }

        starting_point = p2;
        return f2;
    }

// ----------------------------------------------------------------------------------------

    template <typename funct>
    double find_max_single_variable (
        const funct& f,
        double& starting_point,
        const double begin = -1e200,
        const double end = 1e200,
        const double eps = 1e-3,
        const long max_iter = 100
    )
    {
        return -find_min_single_variable(negate_function(f), starting_point, begin, end, eps, max_iter);
    }

// ----------------------------------------------------------------------------------------

}

#endif // DLIB_OPTIMIZATIOn_LINE_SEARCH_H_

