Package org.drip.function.rdtor1solver

Class BarrierFixedPointFinder

java.lang.Object

org.drip.function.rdtor1solver.BarrierFixedPointFinder

public class BarrierFixedPointFinder
extends java.lang.Object

BarrierFixedPointFinder invokes the Iterative Finders for locating the Fixed Point of R^d To R¹ Convex/Non-Convex Functions Under Inequality Constraints using Barrier Sequences of decaying Strengths.

• Module = Numerical Core Module
• Library = Numerical Optimizer
• Project = Function
• Package = R^d To R¹ Solver

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
BarrierFixedPointFinder(RdToR1 objectiveFunction, RdToR1[] inequalityConstraintMultivariateFunctionArray, InteriorPointBarrierControl interiorPointBarrierControl, LineStepEvolutionControl lineStepEvolutionControl)	BarrierFixedPointFinder Constructor

Method Summary

Modifier and Type	Method	Description
RdToR1[]	inequalityConstraintMultivariateFunctionArray()	Retrieve the Array of Inequality Constraints
InteriorPointBarrierControl	interiorPointBarrierControl()	Retrieve the Interior Point Barrier Control Parameters
LineStepEvolutionControl	lineStepEvolutionControl()	Retrieve the Line Step Evolution Interior Control Parameters
RdToR1	objectiveFunction()	Retrieve the Objective Function
VariateInequalityConstraintMultiplier	solve(double[] startingVariateArray)	Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple using the Barrier Iteration Parameters provided by the IPBC Instance

Methods inherited from class java.lang.Object

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

Constructor Details

BarrierFixedPointFinder

public BarrierFixedPointFinder(RdToR1 objectiveFunction,
RdToR1[] inequalityConstraintMultivariateFunctionArray,
InteriorPointBarrierControl interiorPointBarrierControl,
LineStepEvolutionControl lineStepEvolutionControl)
                        throws java.lang.Exception

BarrierFixedPointFinder Constructor

Parameters:

objectiveFunction - The Objective Function

inequalityConstraintMultivariateFunctionArray - Array of Multivariate Inequality Constraint Functions

interiorPointBarrierControl - Interior Point Barrier Strength Control Parameters

lineStepEvolutionControl - Line Step Evolution Verifier Control Parameters

Throws:

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

Method Details

objectiveFunction

public RdToR1 objectiveFunction()

Retrieve the Objective Function

Returns:

The Objective Function

inequalityConstraintMultivariateFunctionArray

public RdToR1[] inequalityConstraintMultivariateFunctionArray()

Retrieve the Array of Inequality Constraints

Returns:

The Array of Inequality Constraints

lineStepEvolutionControl

public LineStepEvolutionControl lineStepEvolutionControl()

Retrieve the Line Step Evolution Interior Control Parameters

Returns:

The Line Step Evolution Strength Control Parameters

interiorPointBarrierControl

public InteriorPointBarrierControl interiorPointBarrierControl()

Retrieve the Interior Point Barrier Control Parameters

Returns:

The Interior Point Barrier Control Parameters

solve

public VariateInequalityConstraintMultiplier solve(double[] startingVariateArray)

Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple using the Barrier Iteration Parameters provided by the IPBC Instance

Parameters:

startingVariateArray - The Starting Variate Sequence

Returns:

The Optimal Variate-Inequality Constraint Multiplier Tuple