org.drip.function.rdtor1solver

Class NewtonFixedPointFinder

java.lang.Object

org.drip.function.rdtor1solver.FixedRdFinder

org.drip.function.rdtor1solver.NewtonFixedPointFinder

public class NewtonFixedPointFinder
extends FixedRdFinder

NewtonFixedPointFinder generates the Iterators for solving R^d To R^1 Convex/Non-Convex Functions Using the Multivariate Newton Method.

Author:

Lakshmi Krishnamurthy

Field Summary

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

s_bVerifierIncrementBlog

Constructor Summary

Constructors

Constructor and Description
NewtonFixedPointFinder(RdToR1 rdToR1ObjectiveFunction, LineStepEvolutionControl lsec, ConvergenceControl cc) NewtonFixedPointFinder Constructor

Method Summary

Modifier and Type	Method and Description
VariateInequalityConstraintMultiplier	increment(VariateInequalityConstraintMultiplier vcmtCurrent) Produce the Incremental Variate-Constraint Multiplier
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

NewtonFixedPointFinder

public NewtonFixedPointFinder(RdToR1 rdToR1ObjectiveFunction,
                              LineStepEvolutionControl lsec,
                              ConvergenceControl cc)
                       throws java.lang.Exception

NewtonFixedPointFinder Constructor

Parameters:

rdToR1ObjectiveFunction - The Objective Function

lsec - The Line Step Evolution Control

cc - Convergence Control Parameters

Throws:

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

Method Detail

increment

public VariateInequalityConstraintMultiplier increment(VariateInequalityConstraintMultiplier vcmtCurrent)

Description copied from class: FixedRdFinder

Produce the Incremental Variate-Constraint Multiplier

Specified by:

increment in class FixedRdFinder

Parameters:

vcmtCurrent - 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