Package org.drip.sample.optimizer

Lagrangian/KKT Necessary Sufficient Conditions
Author:
Lakshmi Krishnamurthy
  • Class Summary
    Class Description
    KKTNecessarySufficientConditions
    KKTNecessarySufficientConditions carries out the Zero and the First Order Necessary and the Second Order Sufficiency Checks for a Constrained KKT Optimization Problem.
    KKTRegularityConditions
    KKTRegularityConditions carries out the Regularity Checks satisfied by the Optimizing Variate for a Constrained KKT Optimization Problem.
    NSphereSurfaceExtremization
    NSphereSurfaceExtremization computes the Equality-Constrained Extrema of the Specified Function along the Surface of an N-Sphere using Lagrange Multipliers.
    VariateSumExtremization
    VariateSumExtremization computes the Equality Constrained Extrema of the Sum of Variates along the Surface of the Sphere using Lagrange Multipliers.