org.drip.function.rdtor1descent

Class CurvatureEvolutionVerifierMetrics

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics

org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics

public class CurvatureEvolutionVerifierMetrics
extends LineEvolutionVerifierMetrics

CurvatuveEvolutionVerifierMetrics 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

Constructor Summary

Constructors

Constructor and Description
CurvatureEvolutionVerifierMetrics(double dblCurvatureParameter, boolean bStrongCurvatureCriterion, UnitVector uvTargetDirection, double[] adblCurrentVariate, double dblStepLength, double[] adblCurrentVariateFunctionJacobian, double[] adblNextVariateFunctionJacobian) CurvatureEvolutionVerifierMetrics Constructor

Method Summary

Modifier and Type	Method and Description
double	curvatureParameter() Retrieve the Curvature Parameter
double[]	nextVariateFunctionJacobian() Retrieve the Function Jacobian at the Next Variate
boolean	strongCriterion() Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
boolean	verify() Indicate if the Curvature Criterion has been met

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

currentVariate, currentVariateFunctionJacobian, stepLength, targetDirection, toString

Methods inherited from class java.lang.Object

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

Constructor Detail

CurvatureEvolutionVerifierMetrics

public CurvatureEvolutionVerifierMetrics(double dblCurvatureParameter,
                                         boolean bStrongCurvatureCriterion,
                                         UnitVector uvTargetDirection,
                                         double[] adblCurrentVariate,
                                         double dblStepLength,
                                         double[] adblCurrentVariateFunctionJacobian,
                                         double[] adblNextVariateFunctionJacobian)
                                  throws java.lang.Exception

CurvatureEvolutionVerifierMetrics Constructor

Parameters:

dblCurvatureParameter - The Curvature Criterion Parameter

bStrongCurvatureCriterion - TRUE - Apply the "Strong" Curvature Criterion

uvTargetDirection - The Target Direction Unit Vector

adblCurrentVariate - Array of Current Variate

dblStepLength - The Incremental Step Length

adblCurrentVariateFunctionJacobian - The Function Jacobian at the Current Variate

adblNextVariateFunctionJacobian - The Function Jacobian at the Next Variate

Throws:

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

Method Detail

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

nextVariateFunctionJacobian

public double[] nextVariateFunctionJacobian()

Retrieve the Function Jacobian at the Next Variate

Returns:

The Function Jacobian at the Next Variate

verify

public boolean verify()

Indicate if the Curvature Criterion has been met

Specified by:

verify in class LineEvolutionVerifierMetrics

Returns:

TRUE - The Curvature Criterion has been met