Package org.drip.optimization.constrained

Class FritzJohnMultipliers

java.lang.Object
org.drip.optimization.constrained.FritzJohnMultipliers
public class FritzJohnMultipliers
extends java.lang.Object
FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and the Inequality Constraints, one per each Constraint. The References are:

  • Boyd, S., and L. van den Berghe (2009): Convex Optimization Cambridge University Press Cambridge UK
  • Eustaquio, R., E. Karas, and A. Ribeiro (2008): Constraint Qualification for Nonlinear Programming Federal University of Parana
  • Karush, A. (1939): Minima of Functions of Several Variables with Inequalities as Side Constraints University of Chicago Chicago IL
  • Kuhn, H. W., and A. W. Tucker (1951): Nonlinear Programming Proceedings of the Second Berkeley Symposium University of California Berkeley CA 481-492
  • Ruszczynski, A. (2006): Nonlinear Optimization Princeton University Press Princeton NJ


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    FritzJohnMultipliers​(double dblObjectiveCoefficient, double[] adblEquality, double[] adblInequality)
    FritzJohnMultipliers Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean dualFeasibilityCheck()
    Indicate of the Multipliers constitute Valid Dual Feasibility
    double[] equalityConstraintCoefficient()
    Retrieve the Array of the Equality Constraint Coefficients
    double[] inequalityConstraintCoefficient()
    Retrieve the Array of the Inequality Constraint Coefficients
    static FritzJohnMultipliers KarushKuhnTucker​(double[] adblEquality, double[] adblInequality)
    Construct a Standard KarushKuhnTucker (KKT) Instance of the Fritz John Multipliers
    int numEqualityCoefficients()
    Retrieve the Number of Equality Multiplier Coefficients
    int numInequalityCoefficients()
    Retrieve the Number of Inequality Multiplier Coefficients
    int numTotalCoefficients()
    Retrieve the Number of Total KKT Multiplier Coefficients
    double objectiveCoefficient()
    Retrieve the Fritz John Objective Function Multiplier

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FritzJohnMultipliers

      public FritzJohnMultipliers​(double dblObjectiveCoefficient, double[] adblEquality, double[] adblInequality) throws java.lang.Exception
      FritzJohnMultipliers Constructor
      Parameters:
      dblObjectiveCoefficient - The Objective Function Coefficient
      adblEquality - Array of the Equality Constraint Coefficients
      adblInequality - Array of the Inequality Constraint Coefficients
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • KarushKuhnTucker

      public static final FritzJohnMultipliers KarushKuhnTucker​(double[] adblEquality, double[] adblInequality)
      Construct a Standard KarushKuhnTucker (KKT) Instance of the Fritz John Multipliers
      Parameters:
      adblEquality - Array of the Equality Constraint Coefficients
      adblInequality - Array of the Inequality Constraint Coefficients
      Returns:
      The KKT Instance of Fritz John Multipliers

    • objectiveCoefficient

      public double objectiveCoefficient()
      Retrieve the Fritz John Objective Function Multiplier
      Returns:
      The Fritz John Objective Function Multiplier

    • equalityConstraintCoefficient

      public double[] equalityConstraintCoefficient()
      Retrieve the Array of the Equality Constraint Coefficients
      Returns:
      The Array of the Equality Constraint Coefficients

    • inequalityConstraintCoefficient

      public double[] inequalityConstraintCoefficient()
      Retrieve the Array of the Inequality Constraint Coefficients
      Returns:
      The Array of the Inequality Constraint Coefficients

    • numEqualityCoefficients

      public int numEqualityCoefficients()
      Retrieve the Number of Equality Multiplier Coefficients
      Returns:
      The Number of Equality Multiplier Coefficients

    • numInequalityCoefficients

      public int numInequalityCoefficients()
      Retrieve the Number of Inequality Multiplier Coefficients
      Returns:
      The Number of Inequality Multiplier Coefficients

    • numTotalCoefficients

      public int numTotalCoefficients()
      Retrieve the Number of Total KKT Multiplier Coefficients
      Returns:
      The Number of Total KKT Multiplier Coefficients

    • dualFeasibilityCheck

      public boolean dualFeasibilityCheck()
      Indicate of the Multipliers constitute Valid Dual Feasibility
      Returns:
      TRUE - The Multipliers constitute Valid Dual Feasibility