Package org.drip.function.rdtor1descent

Class LineEvolutionVerifier

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifier

Direct Known Subclasses:

ArmijoEvolutionVerifier, CurvatureEvolutionVerifier, WolfeEvolutionVerifier

public abstract class LineEvolutionVerifier
extends java.lang.Object

LineEvolutionVerifier implements the Step Length Verification Criterion used for the Inexact Line Search Increment Generation. The References are:

• Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial Derivatives Pacific Journal of Mathematics 16 (1) 1-3
• Nocedal, J., and S. Wright (1999): Numerical Optimization Wiley
• 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
LineEvolutionVerifier()

Method Summary

Modifier and Type	Method	Description
abstract LineEvolutionVerifierMetrics	metrics(UnitVector targetDirectionUnitVector, double[] currentVariateArray, RdToR1 multivariateFunction, double stepLength)	Generate the Verifier Metrics for the Specified Inputs
boolean	verify(UnitVector targetDirectionUnitVector, double[] currentVariateArray, RdToR1 multivariateFunction, double stepLength)	Verify if the specified Inputs satisfy the Criterion

Methods inherited from class java.lang.Object

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

Constructor Details

LineEvolutionVerifier

public LineEvolutionVerifier()

Method Details

verify

public boolean verify(UnitVector targetDirectionUnitVector,
double[] currentVariateArray,
RdToR1 multivariateFunction,
double stepLength)
               throws java.lang.Exception

Verify if the specified Inputs satisfy the Criterion

Parameters:

targetDirectionUnitVector - The Target Direction Unit Vector

currentVariateArray - The Current Variate

multivariateFunction - The R^d To R¹ Function

stepLength - The Incremental Step Length

Returns:

TRUE - The Specified Inputs satisfy the Criterion

Throws:

java.lang.Exception - Thrown if the Verification cannot be performed

metrics

public abstract LineEvolutionVerifierMetrics metrics(UnitVector targetDirectionUnitVector,
double[] currentVariateArray,
RdToR1 multivariateFunction,
double stepLength)

Generate the Verifier Metrics for the Specified Inputs

Parameters:

targetDirectionUnitVector - The Target Direction Unit Vector

currentVariateArray - The Current Variate

multivariateFunction - The R^d To R¹ Function

stepLength - The Incremental Step Length

Returns:

The Verifier Metrics