org.drip.function.rdtor1solver

Class FixedRdFinder

java.lang.Object

org.drip.function.rdtor1solver.FixedRdFinder

Direct Known Subclasses:

InteriorFixedPointFinder, NewtonFixedPointFinder

public abstract class FixedRdFinder
extends java.lang.Object

FixedRdFinder exports the Methods needed for the locating a Fixed R^d Point.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type	Field and Description
static boolean	s_bVerifierIncrementBlog Flag Indicating whether the Verifier Increment Metrics are to be Traced

Method Summary

Modifier and Type	Method and Description
ConvergenceControl	control() Retrieve the Convergence Control Parameters
VariateInequalityConstraintMultiplier	convergeObjectiveFunction(VariateInequalityConstraintMultiplier vicmStarting) Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Objective Function Convergence
VariateInequalityConstraintMultiplier	convergeVariate(VariateInequalityConstraintMultiplier vicmStarting) Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Variate/Inequality Constraint Tuple Convergence
VariateInequalityConstraintMultiplier	find(VariateInequalityConstraintMultiplier vicmStarting) Find the Optimal Variate-Inequality Constraint Multiplier Tuple using the Iteration Parameters provided by the Convergence Control Instance
abstract VariateInequalityConstraintMultiplier	increment(VariateInequalityConstraintMultiplier vcmtCurrent) Produce the Incremental Variate-Constraint Multiplier
double	incrementFraction(VariateInequalityConstraintMultiplier vicm, VariateInequalityConstraintMultiplier vicmFullIncrement) Retrieve the Incremental Step Length Fraction
LineStepEvolutionControl	lineStepEvolutionControl() Retrieve the Line Step Evolution Control
abstract VariateInequalityConstraintMultiplier	next(VariateInequalityConstraintMultiplier vcmtCurrent, VariateInequalityConstraintMultiplier vcmtIncrement, double dblIncrementFraction) Iterate Over to the Next Variate-Constraint Multiplier Tuple
RdToR1	objectiveFunction() Retrieve the Objective Function

Methods inherited from class java.lang.Object

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

Field Detail

s_bVerifierIncrementBlog

public static boolean s_bVerifierIncrementBlog

Flag Indicating whether the Verifier Increment Metrics are to be Traced

Method Detail

objectiveFunction

public RdToR1 objectiveFunction()

Retrieve the Objective Function

Returns:

The Objective Function

lineStepEvolutionControl

public LineStepEvolutionControl lineStepEvolutionControl()

Retrieve the Line Step Evolution Control

Returns:

The Line Step Evolution Control

control

public ConvergenceControl control()

Retrieve the Convergence Control Parameters

Returns:

The Convergence Control Parameters

convergeVariate

public VariateInequalityConstraintMultiplier convergeVariate(VariateInequalityConstraintMultiplier vicmStarting)

Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Variate/Inequality Constraint Tuple Convergence

Parameters:

vicmStarting - The Starting Variate/Inequality Constraint Tuple Set

Returns:

The Optimal Variate-Inequality Constraint Multiplier Tuple

convergeObjectiveFunction

public VariateInequalityConstraintMultiplier convergeObjectiveFunction(VariateInequalityConstraintMultiplier vicmStarting)

Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple Using the Objective Function Convergence

Parameters:

vicmStarting - The Starting Variate/Inequality Constraint Tuple Set

Returns:

The Optimal Variate-Inequality Constraint Multiplier Tuple

find

public VariateInequalityConstraintMultiplier find(VariateInequalityConstraintMultiplier vicmStarting)

Find the Optimal Variate-Inequality Constraint Multiplier Tuple using the Iteration Parameters provided by the Convergence Control Instance

Parameters:

vicmStarting - The Starting Variate-Inequality Constraint Multiplier Tuple

Returns:

The Optimal Variate-Inequality Constraint Multiplier Tuple

incrementFraction

public double incrementFraction(VariateInequalityConstraintMultiplier vicm,
                                VariateInequalityConstraintMultiplier vicmFullIncrement)

Retrieve the Incremental Step Length Fraction

Parameters:

vicm - The VICM Base Instance

vicmFullIncrement - The Full VICM Instance Increment

Returns:

The VICM Incremental Step Length Fraction

increment

public abstract VariateInequalityConstraintMultiplier increment(VariateInequalityConstraintMultiplier vcmtCurrent)

Produce the Incremental Variate-Constraint Multiplier

Parameters:

vcmtCurrent - The Current Variate-Constraint Multiplier Tuple

Returns:

The Incremental Variate-Constraint Multiplier

next

public abstract VariateInequalityConstraintMultiplier next(VariateInequalityConstraintMultiplier vcmtCurrent,
                                                           VariateInequalityConstraintMultiplier vcmtIncrement,
                                                           double dblIncrementFraction)

Iterate Over to the Next Variate-Constraint Multiplier Tuple

Parameters:

vcmtCurrent - The Current Variate-Constraint Multiplier Tuple

vcmtIncrement - The Incremental Variate-Constraint Multiplier Tuple

dblIncrementFraction - The Incremental Fraction to be applied

Returns:

The Next Variate-Constraint Multiplier Set