Package org.drip.function.rdtor1solver

Class NewtonFixedPointFinder

java.lang.Object

org.drip.function.rdtor1solver.FixedRdFinder

org.drip.function.rdtor1solver.NewtonFixedPointFinder

public class NewtonFixedPointFinder
extends FixedRdFinder

NewtonFixedPointFinder generates the Iterators for solving R^d To R¹ Convex/Non-Convex Functions Using the Multivariate Newton Method.

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

Author:

Lakshmi Krishnamurthy

Field Summary

Fields inherited from class org.drip.function.rdtor1solver.FixedRdFinder

s_verifierIncrementBlog

Constructor Summary

Constructors

Constructor	Description
NewtonFixedPointFinder(RdToR1 objectiveFunction, LineStepEvolutionControl lineStepEvolutionControl, ConvergenceControl convergenceControl)	NewtonFixedPointFinder Constructor

Method Summary

Modifier and Type	Method	Description
VariateInequalityConstraintMultiplier	increment(VariateInequalityConstraintMultiplier curentVariateConstraint)	Produce the Incremental Variate-Constraint Multiplier
VariateInequalityConstraintMultiplier	next(VariateInequalityConstraintMultiplier curentVariateConstraint, VariateInequalityConstraintMultiplier incrementalVariateConstraint, double incrementFraction)	Iterate Over to the Next Variate-Constraint Multiplier Tuple

Methods inherited from class org.drip.function.rdtor1solver.FixedRdFinder

convergenceControl, convergeObjectiveFunction, convergeVariate, find, incrementFraction, lineStepEvolutionControl, objectiveFunction

Methods inherited from class java.lang.Object

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

Constructor Details

NewtonFixedPointFinder

public NewtonFixedPointFinder(RdToR1 objectiveFunction,
LineStepEvolutionControl lineStepEvolutionControl,
ConvergenceControl convergenceControl)
                       throws java.lang.Exception

NewtonFixedPointFinder Constructor

Parameters:

objectiveFunction - The Objective Function

lineStepEvolutionControl - The Line Step Evolution Control

convergenceControl - Convergence Control Parameters

Throws:

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

Method Details

increment

public VariateInequalityConstraintMultiplier increment(VariateInequalityConstraintMultiplier curentVariateConstraint)

Description copied from class: FixedRdFinder

Produce the Incremental Variate-Constraint Multiplier

Specified by:

increment in class FixedRdFinder

Parameters:

curentVariateConstraint - The Current Variate-Constraint Multiplier Tuple

Returns:

The Incremental Variate-Constraint Multiplier

next

public VariateInequalityConstraintMultiplier next(VariateInequalityConstraintMultiplier curentVariateConstraint,
VariateInequalityConstraintMultiplier incrementalVariateConstraint,
double incrementFraction)

Description copied from class: FixedRdFinder

Iterate Over to the Next Variate-Constraint Multiplier Tuple

Specified by:

next in class FixedRdFinder

Parameters:

curentVariateConstraint - The Current Variate-Constraint Multiplier Tuple

incrementalVariateConstraint - The Incremental Variate-Constraint Multiplier Tuple

incrementFraction - The Incremental Fraction to be applied

Returns:

The Next Variate-Constraint Multiplier Set