org.drip.function.rdtor1descent

Class LineEvolutionVerifier

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifier

Direct Known Subclasses:

ArmijoEvolutionVerifier, CurvatureEvolutionVerifier, WolfeEvolutionVerifier

public abstract class LineEvolutionVerifier
extends java.lang.Object

LineEvolutionVerifier implements the Step Length Verification Criterion used for the Inexact Line Search Increment Generation. The References are: - Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial Derivatives, Pacific Journal of Mathematics 16 (1) 1-3. - 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. - Nocedal, J., and S. Wright (1999): Numerical Optimization, Wiley.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
LineEvolutionVerifier()

Method Summary

Modifier and Type	Method and Description
abstract LineEvolutionVerifierMetrics	metrics(UnitVector uvTargetDirection, double[] adblCurrentVariate, RdToR1 funcRdToR1, double dblStepLength) Generate the Verifier Metrics for the Specified Inputs
boolean	verify(UnitVector uvTargetDirection, double[] adblCurrentVariate, RdToR1 funcRdToR1, double dblStepLength) Verify if the specified Inputs satisfy the Criterion

Methods inherited from class java.lang.Object

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

Constructor Detail

LineEvolutionVerifier

public LineEvolutionVerifier()

Method Detail

verify

public boolean verify(UnitVector uvTargetDirection,
                      double[] adblCurrentVariate,
                      RdToR1 funcRdToR1,
                      double dblStepLength)
               throws java.lang.Exception

Verify if the specified Inputs satisfy the Criterion

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:

TRUE - The Specified Inputs satisfy the Criterion

Throws:

java.lang.Exception - Thrown if the Verification cannot be performed

metrics

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

Generate the Verifier Metrics for the Specified Inputs

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