Package org.drip.function.rdtor1descent

Class WolfeEvolutionVerifierMetrics

java.lang.Object

org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics

org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics

public class WolfeEvolutionVerifierMetrics
extends LineEvolutionVerifierMetrics

WolfeEvolutionVerifierMetrics implements the Wolfe 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
WolfeEvolutionVerifierMetrics(double armijoParameter, boolean maximizerCheck, double curvatureParameter, boolean strongCurvatureCriterion, UnitVector targetDirection, double[] currentVariateArray, double stepLength, double currentVariateFunctionValue, double nextVariateFunctionValue, double[] currentVariateFunctionJacobian, double[] nextVariateFunctionJacobian)	WolfeEvolutionVerifierMetrics Constructor

Method Summary

Modifier and Type	Method	Description
double	armijoParameter()	Retrieve the Armijo Parameter
double	currentVariateFunctionValue()	Retrieve the Function Value at the Current Variate
double	curvatureParameter()	Retrieve the Curvature Parameter
boolean	maximizerCheck()	Indicate if the Check is for Minimizer/Maximizer
double[]	nextVariateFunctionJacobian()	Retrieve the Function Jacobian at the Next Variate
double	nextVariateFunctionValue()	Retrieve the Function Value at the Next Variate
boolean	strongCurvatureCriterion()	Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
boolean	verify()	Indicate if the Wolfe 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

WolfeEvolutionVerifierMetrics

public WolfeEvolutionVerifierMetrics(double armijoParameter,
boolean maximizerCheck,
double curvatureParameter,
boolean strongCurvatureCriterion,
UnitVector targetDirection,
double[] currentVariateArray,
double stepLength,
double currentVariateFunctionValue,
double nextVariateFunctionValue,
double[] currentVariateFunctionJacobian,
double[] nextVariateFunctionJacobian)
                              throws java.lang.Exception

WolfeEvolutionVerifierMetrics Constructor

Parameters:

armijoParameter - The Armijo Criterion Parameter

maximizerCheck - TRUE - Perform a Check for the Function Maxima

curvatureParameter - The Curvature Criterion Parameter

strongCurvatureCriterion - TRUE - Apply the "Strong" Curvature Criterion

targetDirection - The Target Direction Unit Vector

currentVariateArray - Array of the Current Variate

stepLength - The Incremental Step Length

currentVariateFunctionValue - The Function Value at the Current Variate

nextVariateFunctionValue - The Function Value at the Next Variate

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

armijoParameter

public double armijoParameter()

Retrieve the Armijo Parameter

Returns:

The Armijo Parameter

maximizerCheck

public boolean maximizerCheck()

Indicate if the Check is for Minimizer/Maximizer

Returns:

TRUE - The Check is for Maximizer

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

currentVariateFunctionValue

public double currentVariateFunctionValue()

Retrieve the Function Value at the Current Variate

Returns:

The Function Value at the Current Variate

nextVariateFunctionValue

public double nextVariateFunctionValue()

Retrieve the Function Value at the Next Variate

Returns:

The Function Value at the Next Variate

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 Wolfe Criterion has been met

Specified by:

verify in class LineEvolutionVerifierMetrics

Returns:

TRUE - The Wolfe Criterion has been met