Package org.drip.function.definition

Class R1ToR1

java.lang.Object
org.drip.function.definition.R1ToR1
Direct Known Subclasses:
AlmgrenEnhancedEulerUpdate, AndersenPiterbargMeanReverter, Bennett, BinetFirstIntegral, BinetIntegralFirstKindEstimator, BinetIntegralSecondKindEstimator, CalibratableMultiSegmentSequence, EmpiricalLearnerLoss, EulerIntegralSecondKind, ExponentialDecay, ExponentialTension, FirstDerivative, FlatUnivariate, FunctionClassSupremum, GrossProfitExpectation, HyperbolicTension, HypergeometricEstimator, ISDABucketCurvatureTenorScaler, KLKHyperbolicTensionPhy, KLKHyperbolicTensionPsy, LaplaceTransformGaussLegendre, LinearRationalShapeControl, LogBigPi, LogReciprocal, LogSmallPi, LowerEulerIntegral, LowerLimitPowerIntegrand, ModifiedScaledExponentialEstimator, MonicPolynomial, MonotoneConvexHaganWest, NaturalLogSeriesElement, OffsetIdempotent, Polynomial, PowerSourceExponentialDecay, QuadraticRationalShapeControl, R1ToR1Estimator, R1UnivariateCIRPDF, RelaxationTimeDistributionEstimator, RiemannZeta, RxToR1Series, SABRLIBORCapVolatility, ScaledExponentialEstimator, SegmentBasisFunction, Sinc, StretchedExponentialMoment, TensionBasisHat, TransactionFunction, UnivariateConvolution, UnivariateReciprocal, UnivariateReflection, UpperEulerIntegral, UpperLimitPowerIntegrand
public abstract class R1ToR1
extends java.lang.Object
R1ToR1 provides the evaluation of the objective function and its derivatives for a specified variate. Default implementation of the derivatives are for non-analytical black box objective functions.

Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    R1ToR1 antiDerivative()
    Compute the Anti-Derivative Function
    double derivative​(double dblVariate, int iOrder)
    Calculate the derivative as a double
    Differential differential​(double dblVariate, double dblOFBase, int iOrder)
    Calculate the Differential
    Differential differential​(double dblVariate, int iOrder)
    Calculate the Differential
    abstract double evaluate​(double dblVariate)
    Evaluate for the given variate
    double integrate​(double dblBegin, double dblEnd)
    Integrate over the given range
    VariateOutputPair maxima()
    Compute the Maximal Variate and the Corresponding Function Value
    VariateOutputPair maxima​(double dblVariateLeft, double dblVariateRight)
    Compute the Maximum VOP within the Variate Range
    VariateOutputPair minima()
    Compute the Minimal Variate and the Corresponding Function Value
    VariateOutputPair minima​(double dblVariateLeft, double dblVariateRight)
    Compute the Minimum VOP within the Variate Range
    PoleResidue poleResidue​(double x)
    Compute the Residue if the Variate is a Pole

    Methods inherited from class java.lang.Object

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

  • Method Details

    • evaluate

      public abstract double evaluate​(double dblVariate) throws java.lang.Exception
      Evaluate for the given variate
      Parameters:
      dblVariate - Variate
      Returns:
      Returns the calculated value
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • differential

      public Differential differential​(double dblVariate, double dblOFBase, int iOrder)
      Calculate the Differential
      Parameters:
      dblVariate - Variate at which the derivative is to be calculated
      dblOFBase - Base Value for the Objective Function
      iOrder - Order of the derivative to be computed
      Returns:
      The Derivative

    • differential

      public Differential differential​(double dblVariate, int iOrder)
      Calculate the Differential
      Parameters:
      dblVariate - Variate at which the derivative is to be calculated
      iOrder - Order of the derivative to be computed
      Returns:
      The Derivative

    • derivative

      public double derivative​(double dblVariate, int iOrder) throws java.lang.Exception
      Calculate the derivative as a double
      Parameters:
      dblVariate - Variate at which the derivative is to be calculated
      iOrder - Order of the derivative to be computed
      Returns:
      The Derivative
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

    • integrate

      public double integrate​(double dblBegin, double dblEnd) throws java.lang.Exception
      Integrate over the given range
      Parameters:
      dblBegin - Range Begin
      dblEnd - Range End
      Returns:
      The Integrated Value
      Throws:
      java.lang.Exception - Thrown if evaluation cannot be done

    • maxima

      public VariateOutputPair maxima()
      Compute the Maximal Variate and the Corresponding Function Value
      Returns:
      The Maximal Variate and the Corresponding Function Value

    • maxima

      public VariateOutputPair maxima​(double dblVariateLeft, double dblVariateRight)
      Compute the Maximum VOP within the Variate Range
      Parameters:
      dblVariateLeft - The Range Left End
      dblVariateRight - The Range Right End
      Returns:
      The Maximum VOP

    • minima

      public VariateOutputPair minima()
      Compute the Minimal Variate and the Corresponding Function Value
      Returns:
      The Minimal Variate and the Corresponding Function Value

    • minima

      public VariateOutputPair minima​(double dblVariateLeft, double dblVariateRight)
      Compute the Minimum VOP within the Variate Range
      Parameters:
      dblVariateLeft - The Range Left End
      dblVariateRight - The Range Right End
      Returns:
      The Minimum VOP

    • antiDerivative

      public R1ToR1 antiDerivative()
      Compute the Anti-Derivative Function
      Returns:
      The Anti-Derivative Function

    • poleResidue

      public PoleResidue poleResidue​(double x)
      Compute the Residue if the Variate is a Pole
      Parameters:
      x - Variate
      Returns:
      The Residue if the Variate is a Pole