Package org.drip.optimization.constrained

KKT Fritz-John Constrained Optimizer
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    FritzJohnMultipliers
    FritzJohnMultipliers holds the Array of the Fritz John/KKT Multipliers for the Array of the Equality and the Inequality Constraints, one per each Constraint.
    NecessarySufficientConditions
    NecessarySufficientConditions holds the Results of the Verification of the Necessary and the Sufficient Conditions at the specified (possibly) Optimal Variate and the corresponding Fritz John Multiplier Suite.
    OptimizationFramework
    OptimizationFramework holds the Non Linear Objective Function and the Collection of Equality and the Inequality Constraints that correspond to the Optimization Setup.
    RegularityConditions
    RegularityConditions holds the Results of the Verification of the Regularity Conditions/Constraint Qualifications at the specified (possibly) Optimal Variate and the corresponding Fritz John Multipliers.