Package org.drip.portfolioconstruction.optimizer

Class ObjectiveFunction

java.lang.Object

org.drip.function.definition.RdToR1

org.drip.portfolioconstruction.optimizer.ObjectiveFunction

public class ObjectiveFunction
extends RdToR1

ObjectiveFunction holds the Terms composing the Objective Function and their Weights.

• Module = Portfolio Core Module
• Library = Asset Allocation Analytics
• Project = Portfolio Construction under Allocation Constraints
• Package = Core Portfolio Construction Optimizer Suite

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
ObjectiveFunction()	Empty Objective Function Constructor

Method Summary

Modifier and Type	Method	Description
boolean	addObjectiveTermUnit(ObjectiveTermUnit objectiveTermUnit)	Add the Objective Term Unit Instance
double	derivative(double[] variateArray, int variateIndex, int order)	Calculate the derivative as a double
int	dimension()	Retrieve the Dimension of the Input Variate
double	evaluate(double[] variateArray)	Evaluate for the given Input Variates
java.util.List<ObjectiveTermUnit>	list()	Retrieve the List of Objective Terms

Methods inherited from class org.drip.function.definition.RdToR1

conditionNumber, conditionNumberL2, conditionNumberLInfinity, conditionNumberLp, differential, gradient, gradientModulus, gradientModulusFunction, hessian, integrate, jacobian, maxima, minima, ValidateInput

Methods inherited from class java.lang.Object

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

Constructor Details

ObjectiveFunction

public ObjectiveFunction()

Empty Objective Function Constructor

Method Details

addObjectiveTermUnit

public boolean addObjectiveTermUnit(ObjectiveTermUnit objectiveTermUnit)

Add the Objective Term Unit Instance

Parameters:

objectiveTermUnit - The Objective Term Unit Instance

Returns:

TRUE - The Objective Term Unit Instance successfully added

list

public java.util.List<ObjectiveTermUnit> list()

Retrieve the List of Objective Terms

Returns:

The List of Objective Terms

dimension

public int dimension()

Description copied from class: RdToR1

Retrieve the Dimension of the Input Variate

Specified by:

dimension in class RdToR1

Returns:

The Dimension of the Input Variate

evaluate

public double evaluate(double[] variateArray)
                throws java.lang.Exception

Description copied from class: RdToR1

Evaluate for the given Input Variates

Specified by:

evaluate in class RdToR1

Parameters:

variateArray - Array of Input Variates

Returns:

The Calculated Value

Throws:

java.lang.Exception - Thrown if the Evaluation cannot be done

derivative

public double derivative(double[] variateArray,
int variateIndex,
int order)
                  throws java.lang.Exception

Description copied from class: RdToR1

Calculate the derivative as a double

Overrides:

derivative in class RdToR1

Parameters:

variateArray - Variate Array at which the derivative is to be calculated

variateIndex - Index of the Variate whose Derivative is to be computed

order - Order of the derivative to be computed

Returns:

The Derivative

Throws:

java.lang.Exception - Thrown if the Derivative cannot be calculated