Package org.drip.function.rdtor1

Class LagrangianMultivariate

java.lang.Object

org.drip.function.definition.RdToR1

org.drip.function.rdtor1.LagrangianMultivariate

public class LagrangianMultivariate
extends RdToR1

LagrangianMultivariate implements a R^d To R¹ Multivariate Function along with the specified Set of Equality Constraints.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d To R^d Function Analysis
• Package = Built-in R^d To R¹ Functions

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LagrangianMultivariate(RdToR1 RdToR1Objective, RdToR1[] aRdToR1EqualityConstraint)	LagrangianMultivariate Constructor

Method Summary

Modifier and Type	Method	Description
int	constraintFunctionDimension()	Retrieve the Constraint Function Dimension
RdToR1[]	constraintFunctions()	Retrieve the Array of the Constraint R^d To R^1 Function Instances
int	dimension()	Retrieve the Dimension of the Input Variate
double	evaluate(double[] adblVariate)	Evaluate for the given Input Variates
double[][]	hessian(double[] adblVariate)	Evaluate The Hessian for the given Input Variates
double[]	jacobian(double[] adblVariate)	Evaluate the Jacobian for the given Input Variates
RdToR1	objectiveFunction()	Retrieve the Objective R^d To R^1 Function Instance
int	objectiveFunctionDimension()	Retrieve the Objective Function Dimension

Methods inherited from class org.drip.function.definition.RdToR1

conditionNumber, conditionNumberL2, conditionNumberLInfinity, conditionNumberLp, derivative, differential, gradient, gradientModulus, gradientModulusFunction, integrate, maxima, minima, ValidateInput

Methods inherited from class java.lang.Object

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

Constructor Details

LagrangianMultivariate

public LagrangianMultivariate(RdToR1 RdToR1Objective,
RdToR1[] aRdToR1EqualityConstraint)
                       throws java.lang.Exception

LagrangianMultivariate Constructor

Parameters:

RdToR1Objective - The Objective Function

aRdToR1EqualityConstraint - Array of Equality Constraint Functions

Throws:

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

Method Details

objectiveFunction

public RdToR1 objectiveFunction()

Retrieve the Objective R^d To R^1 Function Instance

Returns:

The Objective R^d To R^1 Function Instance

constraintFunctions

public RdToR1[] constraintFunctions()

Retrieve the Array of the Constraint R^d To R^1 Function Instances

Returns:

The Array of Constraint R^d To R^1 Function Instances

objectiveFunctionDimension

public int objectiveFunctionDimension()

Retrieve the Objective Function Dimension

Returns:

The Objective Function Dimension

constraintFunctionDimension

public int constraintFunctionDimension()

Retrieve the Constraint Function Dimension

Returns:

The Constraint Function Dimension

dimension

public int dimension()

Description copied from class: RdToR1

Retrieve the Dimension of the Input Variate

Specified by:

dimension in class RdToR1

Returns:

The Dimension of the Input Variate

evaluate

public double evaluate(double[] adblVariate)
                throws java.lang.Exception

Description copied from class: RdToR1

Evaluate for the given Input Variates

Specified by:

evaluate in class RdToR1

Parameters:

adblVariate - Array of Input Variates

Returns:

The Calculated Value

Throws:

java.lang.Exception - Thrown if the Evaluation cannot be done

jacobian

public double[] jacobian(double[] adblVariate)

Description copied from class: RdToR1

Evaluate the Jacobian for the given Input Variates

Overrides:

jacobian in class RdToR1

Parameters:

adblVariate - Array of Input Variates

Returns:

The Jacobian Array

hessian

public double[][] hessian(double[] adblVariate)

Description copied from class: RdToR1

Evaluate The Hessian for the given Input Variates

Overrides:

hessian in class RdToR1

Parameters:

adblVariate - Array of Input Variates

Returns:

The Hessian Matrix