org.drip.optimization.constrained

Class FritzJohnMultipliers

java.lang.Object

org.drip.optimization.constrained.FritzJohnMultipliers

public class FritzJohnMultipliers
extends java.lang.Object

FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and the Inequality Constraints, one per each Constraint. The References are: - Boyd, S., and L. van den Berghe (2009): Convex Optimization, Cambridge University Press, Cambridge UK. - Eustaquio, R., E. Karas, and A. Ribeiro (2008): Constraint Qualification for Nonlinear Programming, Technical Report, Federal University of Parana. - Karush, A. (1939): Minima of Functions of Several Variables with Inequalities as Side Constraints, M. Sc., University of Chicago, Chicago IL. - Kuhn, H. W., and A. W. Tucker (1951): Nonlinear Programming, Proceedings of the Second Berkeley Symposium, University of California, Berkeley CA 481-492. - Ruszczynski, A. (2006): Nonlinear Optimization, Princeton University Press, Princeton NJ.

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor and Description
FritzJohnMultipliers(double dblObjectiveCoefficient, double[] adblEquality, double[] adblInequality) FritzJohnMultipliers Constructor

Method Summary

Modifier and Type	Method and Description
boolean	dualFeasibilityCheck() Indicate of the Multipliers constitute Valid Dual Feasibility
double[]	equalityConstraintCoefficient() Retrieve the Array of the Equality Constraint Coefficients
double[]	inequalityConstraintCoefficient() Retrieve the Array of the Inequality Constraint Coefficients
static FritzJohnMultipliers	KarushKuhnTucker(double[] adblEquality, double[] adblInequality) Construct a Standard KarushKuhnTucker (KKT) Instance of the Fritz John Multipliers
int	numEqualityCoefficients() Retrieve the Number of Equality Multiplier Coefficients
int	numInequalityCoefficients() Retrieve the Number of Inequality Multiplier Coefficients
int	numTotalCoefficients() Retrieve the Number of Total KKT Multiplier Coefficients
double	objectiveCoefficient() Retrieve the Fritz John Objective Function Multiplier

Methods inherited from class java.lang.Object

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

Constructor Detail

FritzJohnMultipliers

public FritzJohnMultipliers(double dblObjectiveCoefficient,
                            double[] adblEquality,
                            double[] adblInequality)
                     throws java.lang.Exception

FritzJohnMultipliers Constructor

Parameters:

dblObjectiveCoefficient - The Objective Function Coefficient

adblEquality - Array of the Equality Constraint Coefficients

adblInequality - Array of the Inequality Constraint Coefficients

Throws:

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

Method Detail

KarushKuhnTucker

public static final FritzJohnMultipliers KarushKuhnTucker(double[] adblEquality,
                                                          double[] adblInequality)

Construct a Standard KarushKuhnTucker (KKT) Instance of the Fritz John Multipliers

Parameters:

adblEquality - Array of the Equality Constraint Coefficients

adblInequality - Array of the Inequality Constraint Coefficients

Returns:

The KKT Instance of Fritz John Multipliers

objectiveCoefficient

public double objectiveCoefficient()

Retrieve the Fritz John Objective Function Multiplier

Returns:

The Fritz John Objective Function Multiplier

equalityConstraintCoefficient

public double[] equalityConstraintCoefficient()

Retrieve the Array of the Equality Constraint Coefficients

Returns:

The Array of the Equality Constraint Coefficients

inequalityConstraintCoefficient

public double[] inequalityConstraintCoefficient()

Retrieve the Array of the Inequality Constraint Coefficients

Returns:

The Array of the Inequality Constraint Coefficients

numEqualityCoefficients

public int numEqualityCoefficients()

Retrieve the Number of Equality Multiplier Coefficients

Returns:

The Number of Equality Multiplier Coefficients

numInequalityCoefficients

public int numInequalityCoefficients()

Retrieve the Number of Inequality Multiplier Coefficients

Returns:

The Number of Inequality Multiplier Coefficients

numTotalCoefficients

public int numTotalCoefficients()

Retrieve the Number of Total KKT Multiplier Coefficients

Returns:

The Number of Total KKT Multiplier Coefficients

dualFeasibilityCheck

public boolean dualFeasibilityCheck()

Indicate of the Multipliers constitute Valid Dual Feasibility

Returns:

TRUE - The Multipliers constitute Valid Dual Feasibility