I've been there. And it depends on the situation. So long as she's not married and you're not breaking up a happy marriage / family, all I can say is, never, ever, ever, give up.
And if at the end of the day it does not work out, you know you gave your whole heart to the endeavour.
You'll be heart broken. But if you don't (try) you will be anyway and always wonder. But at least you can say, you gave it your all, and it wasn't meant to be.
It's not much comfort, I know, but it's at least the truth.