ExecutionControl.java
package org.drip.function.r1tor1solver;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
* Copyright (C) 2015 Lakshmi Krishnamurthy
* Copyright (C) 2014 Lakshmi Krishnamurthy
* Copyright (C) 2013 Lakshmi Krishnamurthy
* Copyright (C) 2012 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>ExecutionControl</i> implements the core fixed point search execution control and customization
* functionality.
* <br><br>
* ExecutionControl is used for a) calculating the absolute tolerance, and b) determining whether the OF has
* reached the goal.
* <br><br>
* ExecutionControl determines the execution termination using its ExecutionControlParams instance.
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/README.md">R<sup>d</sup> To R<sup>d</sup> Function Analysis</a></li>
* <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/r1tor1solver/README.md">Built-in R<sup>1</sup> To R<sup>1</sup> Solvers</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ExecutionControl {
private org.drip.function.r1tor1solver.ExecutionControlParams _ecp = null;
protected org.drip.function.definition.R1ToR1 _of = null;
/**
* ExecutionControl constructor
*
* @param of Objective Function
* @param ecp Execution Control Parameters
*
* @throws java.lang.Exception Thrown if inputs are invalid
*/
public ExecutionControl (
final org.drip.function.definition.R1ToR1 of,
final org.drip.function.r1tor1solver.ExecutionControlParams ecp)
throws java.lang.Exception
{
if (null == (_of = of))
throw new java.lang.Exception ("ExecutionControl constructor: Invalid inputs");
if (null == (_ecp = ecp)) _ecp = new org.drip.function.r1tor1solver.ExecutionControlParams();
}
/**
* Retrieve the Number of Iterations
*
* @return Number of solver iterations
*/
public int getNumIterations()
{
return _ecp.getNumIterations();
}
/**
* Calculate the absolute OF tolerance using the initial OF value
*
* @param dblOFInitial Initial OF Value
*
* @return The absolute OF Tolerance
*
* @throws java.lang.Exception Thrown if absolute tolerance cannot be calculated
*/
public double calcAbsoluteOFTolerance (
final double dblOFInitial)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblOFInitial))
throw new java.lang.Exception ("ExecutionControl::calcAbsoluteOFTolerance => Invalid inputs!");
double dblAbsoluteTolerance = java.lang.Math.abs (dblOFInitial) * _ecp.getOFGoalToleranceFactor();
if (!org.drip.numerical.common.NumberUtil.IsValid (dblAbsoluteTolerance) || dblAbsoluteTolerance <
_ecp.getAbsoluteOFToleranceFallback())
dblAbsoluteTolerance = _ecp.getAbsoluteOFToleranceFallback();
return dblAbsoluteTolerance;
}
/**
* Calculate the absolute variate convergence amount using the initial variate
*
* @param dblInitialVariate Initial Variate
*
* @return The Absolute Variate Convergence Amount
*
* @throws java.lang.Exception Thrown if Absolute Variate Convergence Amount cannot be calculated
*/
public double calcAbsoluteVariateConvergence (
final double dblInitialVariate)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblInitialVariate))
throw new java.lang.Exception
("ExecutionControl::calcAbsoluteVariateConvergence => Invalid inputs!");
double dblAbsoluteConvergence = java.lang.Math.abs (dblInitialVariate) *
_ecp.getVariateConvergenceFactor();
if (!org.drip.numerical.common.NumberUtil.IsValid (dblAbsoluteConvergence) || dblAbsoluteConvergence <
_ecp.getAbsoluteVariateConvergenceFallback())
dblAbsoluteConvergence = _ecp.getAbsoluteVariateConvergenceFallback();
return dblAbsoluteConvergence;
}
/**
* Check to see if the OF has reached the goal
*
* @param dblAbsoluteTolerance Absolute Tolerance
* @param dblOF OF Value
* @param dblOFGoal OF Goal
*
* @return TRUE - If the OF has reached the goal
*
* @throws java.lang.Exception Thrown if the inputs are invalid
*/
public boolean hasOFReachedGoal (
final double dblAbsoluteTolerance,
final double dblOF,
final double dblOFGoal)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (dblAbsoluteTolerance) ||
!org.drip.numerical.common.NumberUtil.IsValid (dblOF) || !org.drip.numerical.common.NumberUtil.IsValid
(dblOFGoal))
throw new java.lang.Exception ("ExecutionControl::hasOFReachedGoal => Invalid inputs!");
return dblAbsoluteTolerance > java.lang.Math.abs (dblOF - dblOFGoal);
}
/**
* Indicate if the variate convergence check has been turned on
*
* @return TRUE - Variate convergence check has been turned on
*/
public boolean isVariateConvergenceCheckEnabled()
{
return _ecp.isVariateConvergenceCheckEnabled();
}
}