org.drip.function.rdtor1solver

Class InteriorFixedPointFinder

java.lang.Object

org.drip.function.rdtor1solver.FixedRdFinder

org.drip.function.rdtor1solver.InteriorFixedPointFinder

public class InteriorFixedPointFinder
extends FixedRdFinder

InteriorFixedPointFinder generates the Iterators for solving R^d To R^1 Convex/Non-Convex Functions Under Inequality Constraints loaded using a Barrier Coefficient.

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.function.rdtor1solver.FixedRdFinder

s_bVerifierIncrementBlog

Constructor Summary

Constructors

Constructor and Description
InteriorFixedPointFinder(RdToR1 rdToR1ObjectiveFunction, RdToR1[] aRdToR1InequalityConstraint, LineStepEvolutionControl lsec, ConvergenceControl cc, double dblBarrierStrength) InteriorFixedPointFinder Constructor

Method Summary

Modifier and Type	Method and Description
double	barrierStrength() Retrieve the Barrier Strength
VariateInequalityConstraintMultiplier	increment(VariateInequalityConstraintMultiplier vicmCurrent) Produce the Incremental Variate-Constraint Multiplier
RdToR1[]	inequalityConstraints() Retrieve the Array of Inequality Constraints
VariateInequalityConstraintMultiplier	next(VariateInequalityConstraintMultiplier vcmtCurrent, VariateInequalityConstraintMultiplier vcmtIncrement, double dblIncrementFraction) Iterate Over to the Next Variate-Constraint Multiplier Tuple

Methods inherited from class org.drip.function.rdtor1solver.FixedRdFinder

control, convergeObjectiveFunction, convergeVariate, find, incrementFraction, lineStepEvolutionControl, objectiveFunction

Methods inherited from class java.lang.Object

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

Constructor Detail

InteriorFixedPointFinder

public InteriorFixedPointFinder(RdToR1 rdToR1ObjectiveFunction,
                                RdToR1[] aRdToR1InequalityConstraint,
                                LineStepEvolutionControl lsec,
                                ConvergenceControl cc,
                                double dblBarrierStrength)
                         throws java.lang.Exception

InteriorFixedPointFinder Constructor

Parameters:

rdToR1ObjectiveFunction - The Objective Function

aRdToR1InequalityConstraint - Array of Inequality Constraints

lsec - The Line Step Evolution Control

cc - Convergence Control Parameters

dblBarrierStrength - Barrier Strength

Throws:

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

Method Detail

inequalityConstraints

public RdToR1[] inequalityConstraints()

Retrieve the Array of Inequality Constraints

Returns:

The Array of Inequality Constraints

barrierStrength

public double barrierStrength()

Retrieve the Barrier Strength

Returns:

The Barrier Strength

increment

public VariateInequalityConstraintMultiplier increment(VariateInequalityConstraintMultiplier vicmCurrent)

Description copied from class: FixedRdFinder

Produce the Incremental Variate-Constraint Multiplier

Specified by:

increment in class FixedRdFinder

Parameters:

vicmCurrent - The Current Variate-Constraint Multiplier Tuple

Returns:

The Incremental Variate-Constraint Multiplier

next

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

Description copied from class: FixedRdFinder

Iterate Over to the Next Variate-Constraint Multiplier Tuple

Specified by:

next in class FixedRdFinder

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