org.drip.function.definition

Class R1ToR1

java.lang.Object

org.drip.function.definition.R1ToR1

Direct Known Subclasses:

AlmgrenEnhancedEulerUpdate, AndersenPiterbargMeanReverter, Bennett, CalibratableMultiSegmentSequence, EmpiricalLearnerLoss, ExponentialDecay, ExponentialTension, FlatUnivariate, FunctionClassSupremum, GrossProfitExpectation, HyperbolicTension, KLKHyperbolicTensionPhy, KLKHyperbolicTensionPsy, LinearRationalShapeControl, MonotoneConvexHaganWest, NaturalLogSeriesElement, OffsetIdempotent, Polynomial, QuadraticRationalShapeControl, SABRLIBORCapVolatility, SegmentBasisFunction, TensionBasisHat, TransactionFunction, UnivariateConvolution, UnivariateReciprocal, UnivariateReflection

public abstract class R1ToR1
extends java.lang.Object

R1ToR1 provides the evaluation of the objective function and its derivatives for a specified variate. Default implementation of the derivatives are for non-analytical black box objective functions.

Author:

Lakshmi Krishnamurthy

Method Summary

Modifier and Type	Method and Description
double	derivative(double dblVariate, int iOrder) Calculate the derivative as a double
Differential	differential(double dblVariate, double dblOFBase, int iOrder) Calculate the Differential
Differential	differential(double dblVariate, int iOrder) Calculate the Differential
abstract double	evaluate(double dblVariate) Evaluate for the given variate
double	integrate(double dblBegin, double dblEnd) Integrate over the given range
VariateOutputPair	maxima() Compute the Maximal Variate and the Corresponding Function Value
VariateOutputPair	maxima(double dblVariateLeft, double dblVariateRight) Compute the Maximum VOP within the Variate Range
VariateOutputPair	minima() Compute the Minimal Variate and the Corresponding Function Value
VariateOutputPair	minima(double dblVariateLeft, double dblVariateRight) Compute the Minimum VOP within the Variate Range

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

evaluate

public abstract double evaluate(double dblVariate)
                         throws java.lang.Exception

Evaluate for the given variate

Parameters:

dblVariate - Variate

Returns:

Returns the calculated value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

differential

public Differential differential(double dblVariate,
                                 double dblOFBase,
                                 int iOrder)

Calculate the Differential

Parameters:

dblVariate - Variate at which the derivative is to be calculated

dblOFBase - Base Value for the Objective Function

iOrder - Order of the derivative to be computed

Returns:

The Derivative

differential

public Differential differential(double dblVariate,
                                 int iOrder)

Calculate the Differential

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative

derivative

public double derivative(double dblVariate,
                         int iOrder)
                  throws java.lang.Exception

Calculate the derivative as a double

Parameters:

dblVariate - Variate at which the derivative is to be calculated

iOrder - Order of the derivative to be computed

Returns:

The Derivative

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

integrate

public double integrate(double dblBegin,
                        double dblEnd)
                 throws java.lang.Exception

Integrate over the given range

Parameters:

dblBegin - Range Begin

dblEnd - Range End

Returns:

The Integrated Value

Throws:

java.lang.Exception - Thrown if evaluation cannot be done

maxima

public VariateOutputPair maxima()

Compute the Maximal Variate and the Corresponding Function Value

Returns:

The Maximal Variate and the Corresponding Function Value

maxima

public VariateOutputPair maxima(double dblVariateLeft,
                                double dblVariateRight)

Compute the Maximum VOP within the Variate Range

Parameters:

dblVariateLeft - The Range Left End

dblVariateRight - The Range Right End

Returns:

The Maximum VOP

minima

public VariateOutputPair minima()

Compute the Minimal Variate and the Corresponding Function Value

Returns:

The Minimal Variate and the Corresponding Function Value

minima

public VariateOutputPair minima(double dblVariateLeft,
                                double dblVariateRight)

Compute the Minimum VOP within the Variate Range

Parameters:

dblVariateLeft - The Range Left End

dblVariateRight - The Range Right End

Returns:

The Minimum VOP