org.drip.function.rdtor1descent

Class CurvatureEvolutionVerifier

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifier

org.drip.function.rdtor1descent.CurvatureEvolutionVerifier

public class CurvatureEvolutionVerifier
extends LineEvolutionVerifier

CurvatuveEvolutionVerifier implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently. The References are: - Wolfe, P. (1969): Convergence Conditions for Ascent Methods, SIAM Review 11 (2) 226-235. - Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections, SIAM Review 13 (2) 185-188.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static double	NOCEDAL_WRIGHT_CURVATURE_PARAMETER The Nocedal-Wright Curvature Parameter

Constructor Summary

Constructors

Constructor and Description
CurvatureEvolutionVerifier(double dblCurvatureParameter, boolean bStrongCurvatureCriterion) CurvatureEvolutionVerifier Constructor

Method Summary

Modifier and Type	Method and Description
double	curvatureParameter() Retrieve the Curvature Parameter
LineEvolutionVerifierMetrics	metrics(UnitVector uvTargetDirection, double[] adblCurrentVariate, RdToR1 funcRdToR1, double dblStepLength) Generate the Verifier Metrics for the Specified Inputs
static CurvatureEvolutionVerifier	NocedalWrightStandard(boolean bStrongCurvatureCriterion) Construct the Nocedal-Wright Curvature Evolution Verifier
boolean	strongCriterion() Retrieve Whether of not the "Strong" Curvature Criterion needs to be met

Methods inherited from class org.drip.function.rdtor1descent.LineEvolutionVerifier

verify

Methods inherited from class java.lang.Object

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

Field Detail

NOCEDAL_WRIGHT_CURVATURE_PARAMETER

public static final double NOCEDAL_WRIGHT_CURVATURE_PARAMETER

The Nocedal-Wright Curvature Parameter

See Also:

Constant Field Values

Constructor Detail

CurvatureEvolutionVerifier

public CurvatureEvolutionVerifier(double dblCurvatureParameter,
                                  boolean bStrongCurvatureCriterion)
                           throws java.lang.Exception

CurvatureEvolutionVerifier Constructor

Parameters:

dblCurvatureParameter - The Curvature Parameter

bStrongCurvatureCriterion - TRUE - Apply the Strong Curvature Criterion

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Detail

NocedalWrightStandard

public static final CurvatureEvolutionVerifier NocedalWrightStandard(boolean bStrongCurvatureCriterion)

Construct the Nocedal-Wright Curvature Evolution Verifier

Parameters:

bStrongCurvatureCriterion - TRUE - Apply the Strong Curvature Criterion

Returns:

The Nocedal-Wright Curvature Evolution Verifier Instance

curvatureParameter

public double curvatureParameter()

Retrieve the Curvature Parameter

Returns:

The Curvature Parameter

strongCriterion

public boolean strongCriterion()

Retrieve Whether of not the "Strong" Curvature Criterion needs to be met

Returns:

TRUE - The "Strong" Curvature Criterion needs to be met

metrics

public LineEvolutionVerifierMetrics metrics(UnitVector uvTargetDirection,
                                            double[] adblCurrentVariate,
                                            RdToR1 funcRdToR1,
                                            double dblStepLength)

Description copied from class: LineEvolutionVerifier

Generate the Verifier Metrics for the Specified Inputs

Specified by:

metrics in class LineEvolutionVerifier

Parameters:

uvTargetDirection - The Target Direction Unit Vector

adblCurrentVariate - The Current Variate

funcRdToR1 - The R^d To R^1 Function

dblStepLength - The Incremental Step Length

Returns:

The Verifier Metrics