Package org.drip.function.rdtor1descent

Class CurvatureEvolutionVerifierMetrics

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics

org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics

public class CurvatureEvolutionVerifierMetrics
extends LineEvolutionVerifierMetrics

CurvatureEvolutionVerifierMetrics implements the Armijo Criterion used for the Inexact Line Search Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently. The References are:

• Wolfe, P. (1969): Convergence Conditions for Ascent Methods SIAM Review 11 (2) 226-235
• Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections SIAM Review 13 (2) 185-188

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d To R^d Function Analysis
• Package = R^d To R¹ Gradient Descent Techniques

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
CurvatureEvolutionVerifierMetrics(double curvatureParameter, boolean strongCurvatureCriterion, UnitVector targetDirectionUnitVector, double[] currentVariateArray, double stepLength, double[] currentVariateFunctionJacobian, double[] nextVariateFunctionJacobian)	CurvatureEvolutionVerifierMetrics Constructor

Method Summary

Modifier and Type	Method	Description
double	curvatureParameter()	Retrieve the Curvature Parameter
double[]	nextVariateFunctionJacobian()	Retrieve the Function Jacobian at the Next Variate
boolean	strongCurvatureCriterion()	Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
boolean	verify()	Indicate if the Curvature Criterion has been met

Methods inherited from class org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics

currentVariateArray, currentVariateFunctionJacobian, stepLength, targetDirection, toString

Methods inherited from class java.lang.Object

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

Constructor Details

CurvatureEvolutionVerifierMetrics

public CurvatureEvolutionVerifierMetrics(double curvatureParameter,
boolean strongCurvatureCriterion,
UnitVector targetDirectionUnitVector,
double[] currentVariateArray,
double stepLength,
double[] currentVariateFunctionJacobian,
double[] nextVariateFunctionJacobian)
                                  throws java.lang.Exception

CurvatureEvolutionVerifierMetrics Constructor

Parameters:

curvatureParameter - The Curvature Criterion Parameter

strongCurvatureCriterion - TRUE - Apply the "Strong" Curvature Criterion

targetDirectionUnitVector - The Target Direction Unit Vector

currentVariateArray - Array of Current Variate

stepLength - The Incremental Step Length

currentVariateFunctionJacobian - The Function Jacobian at the Current Variate

nextVariateFunctionJacobian - The Function Jacobian at the Next Variate

Throws:

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

Method Details

curvatureParameter

public double curvatureParameter()

Retrieve the Curvature Parameter

Returns:

The Curvature Parameter

strongCurvatureCriterion

public boolean strongCurvatureCriterion()

Retrieve Whether of not the "Strong" Curvature Criterion needs to be met

Returns:

TRUE - The "Strong" Curvature Criterion needs to be met

nextVariateFunctionJacobian

public double[] nextVariateFunctionJacobian()

Retrieve the Function Jacobian at the Next Variate

Returns:

The Function Jacobian at the Next Variate

verify

public boolean verify()

Indicate if the Curvature Criterion has been met

Specified by:

verify in class LineEvolutionVerifierMetrics

Returns:

TRUE - The Curvature Criterion has been met