FixedPointFinderBrent.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>FixedPointFinderBrent</i> customizes FixedPointFinderBracketing by applying the Brent's scheme of
* compound variate selector.
* <br><br>
* Brent's scheme, as implemented here, is described in http://www.credit-trader.org. This implementation
* retains absolute shifts that have happened to the variate for the past 2 iterations as the discriminant
* that determines the next variate to be generated.
* <br><br>
* FixedPointFinderBrent uses the following parameters specified in VariateIterationSelectorParams:
* <br>
* <ul>
* <li>
* The Variate Primitive that is regarded as the "fast" method
* </li>
* <li>
* The Variate Primitive that is regarded as the "robust" method
* </li>
* <li>
* The relative variate shift that determines when the "robust" method is to be invoked over the "fast"
* </li>
* <li>
* The lower bound on the variate shift between iterations that serves as the fall-back to the "robust"
* </li>
* </ul>
*
* <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 FixedPointFinderBrent extends org.drip.function.r1tor1solver.FixedPointFinderBracketing {
private double _dblVariateIterativeShift = java.lang.Double.NaN;
private double _dblPreviousVariateIterativeShift = java.lang.Double.NaN;
private org.drip.function.r1tor1solver.VariateIterationSelectorParams _visp = null;
@Override protected double iterateCompoundVariate (
final double dblCurrentVariate,
final double dblContraVariate,
final double dblCurrentOF,
final double dblContraPointOF,
final org.drip.function.r1tor1solver.FixedPointFinderOutput rfop)
throws java.lang.Exception
{
double dblNextVariate = calcNextVariate (dblCurrentVariate, dblContraVariate, dblCurrentOF,
dblContraPointOF, _visp.getFastVariateIteratorPrimitive(), rfop);
double dblVariateEstimateShift = java.lang.Math.abs (dblNextVariate - dblCurrentVariate);
if (org.drip.numerical.common.NumberUtil.IsValid (_dblVariateIterativeShift) ||
_visp.getRobustVariateIteratorPrimitive() == _iIteratorPrimitive) {
if (dblVariateEstimateShift < _visp.getRelativeVariateShift() * _dblVariateIterativeShift &&
_dblVariateIterativeShift > 0.5 * _visp.getVariateShiftLowerBound()) {
_iIteratorPrimitive = _visp.getFastVariateIteratorPrimitive();
_dblPreviousVariateIterativeShift = _dblVariateIterativeShift;
_dblVariateIterativeShift = dblVariateEstimateShift;
return dblNextVariate;
}
_iIteratorPrimitive = _visp.getRobustVariateIteratorPrimitive();
_dblPreviousVariateIterativeShift = _dblVariateIterativeShift;
_dblVariateIterativeShift = dblVariateEstimateShift;
return calcNextVariate (dblCurrentVariate, dblContraVariate, dblCurrentOF, dblContraPointOF,
_visp.getRobustVariateIteratorPrimitive(), rfop);
}
if (org.drip.numerical.common.NumberUtil.IsValid (_dblPreviousVariateIterativeShift) &&
(dblVariateEstimateShift < _visp.getRelativeVariateShift() * _dblPreviousVariateIterativeShift &&
_dblPreviousVariateIterativeShift > 0.5 * _visp.getVariateShiftLowerBound())) {
_iIteratorPrimitive = _visp.getFastVariateIteratorPrimitive();
_dblPreviousVariateIterativeShift = _dblVariateIterativeShift;
_dblVariateIterativeShift = dblVariateEstimateShift;
return dblNextVariate;
}
_iIteratorPrimitive = _visp.getRobustVariateIteratorPrimitive();
_dblPreviousVariateIterativeShift = _dblVariateIterativeShift;
_dblVariateIterativeShift = dblVariateEstimateShift;
return calcNextVariate (dblCurrentVariate, dblContraVariate, dblCurrentOF, dblContraPointOF,
_visp.getRobustVariateIteratorPrimitive(), rfop);
}
/**
* FixedPointFinderBrent constructor
*
* @param dblOFGoal OF Goal
* @param of Objective Function
* @param bWhine TRUE - Balk on Encountering Exception
*
* @throws java.lang.Exception Propogated from below
*/
public FixedPointFinderBrent (
final double dblOFGoal,
final org.drip.function.definition.R1ToR1 of,
final boolean bWhine)
throws java.lang.Exception
{
super (dblOFGoal, of, null, org.drip.function.r1tor1solver.VariateIteratorPrimitive.BISECTION, bWhine);
_visp = new org.drip.function.r1tor1solver.VariateIterationSelectorParams();
}
}