AffineBoundMultivariate.java

  1. package org.drip.function.rdtor1;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  11.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  12.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  13.  * 
  14.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  15.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  16.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  17.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  18.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  19.  *      and computational support.
  20.  *  
  21.  *      https://lakshmidrip.github.io/DROP/
  22.  *  
  23.  *  DROP is composed of three modules:
  24.  *  
  25.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  26.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  27.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  28.  * 
  29.  *  DROP Product Core implements libraries for the following:
  30.  *  - Fixed Income Analytics
  31.  *  - Loan Analytics
  32.  *  - Transaction Cost Analytics
  33.  * 
  34.  *  DROP Portfolio Core implements libraries for the following:
  35.  *  - Asset Allocation Analytics
  36.  *  - Asset Liability Management Analytics
  37.  *  - Capital Estimation Analytics
  38.  *  - Exposure Analytics
  39.  *  - Margin Analytics
  40.  *  - XVA Analytics
  41.  * 
  42.  *  DROP Computational Core implements libraries for the following:
  43.  *  - Algorithm Support
  44.  *  - Computation Support
  45.  *  - Function Analysis
  46.  *  - Model Validation
  47.  *  - Numerical Analysis
  48.  *  - Numerical Optimizer
  49.  *  - Spline Builder
  50.  *  - Statistical Learning
  51.  * 
  52.  *  Documentation for DROP is Spread Over:
  53.  * 
  54.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  55.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  56.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  57.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  58.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  59.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  60.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  61.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  62.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  63.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  64.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  65.  * 
  66.  *  Licensed under the Apache License, Version 2.0 (the "License");
  67.  *      you may not use this file except in compliance with the License.
  68.  *   
  69.  *  You may obtain a copy of the License at
  70.  *      http://www.apache.org/licenses/LICENSE-2.0
  71.  *  
  72.  *  Unless required by applicable law or agreed to in writing, software
  73.  *      distributed under the License is distributed on an "AS IS" BASIS,
  74.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  75.  *  
  76.  *  See the License for the specific language governing permissions and
  77.  *      limitations under the License.
  78.  */

  80. /**
  81.  * <i>AffineBoundMultivariate</i> implements a Bounded Planar Linear R<sup>d</sup> To R<sup>1</sup> Function.
  82.  *
  83.  *  <br><br>
  84.  *  <ul>
  85.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  86.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  87.  *      <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>
  88.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/rdtor1/README.md">Built-in R<sup>d</sup> To R<sup>1</sup> Functions</a></li>
  89.  *  </ul>
  90.  *
  91.  * @author Lakshmi Krishnamurthy
  92.  */

  94. public class AffineBoundMultivariate extends org.drip.function.definition.RdToR1 implements
  95.     org.drip.function.rdtor1.BoundMultivariate, org.drip.function.rdtor1.ConvexMultivariate {
  96.     private boolean _bIsUpper = false;
  97.     private int _iNumTotalVariate = -1;
  98.     private int _iBoundVariateIndex = -1;
  99.     private double _dblBoundValue = java.lang.Double.NaN;

  101.     /**
  102.      * AffineBoundMultivariate Constructor
  103.      * 
  104.      * @param bIsUpper TRUE To The Bound is an Upper Bound
  105.      * @param iBoundVariateIndex The Bound Variate Index
  106.      * @param iNumTotalVariate The Total Number of Variates
  107.      * @param dblBoundValue The Bounding Value
  108.      * 
  109.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  110.      */

  112.     public AffineBoundMultivariate (
  113.         final boolean bIsUpper,
  114.         final int iBoundVariateIndex,
  115.         final int iNumTotalVariate,
  116.         final double dblBoundValue)
  117.         throws java.lang.Exception
  118.     {
  119.         super (null);

  121.         if (!org.drip.numerical.common.NumberUtil.IsValid (_dblBoundValue = dblBoundValue) || 0 ==
  122.             (_iNumTotalVariate = iNumTotalVariate) || _iNumTotalVariate <= (_iBoundVariateIndex =
  123.                 iBoundVariateIndex))
  124.             throw new java.lang.Exception ("AffineBoundMultivariate Constructor => Invalid Inputs");

  126.         _bIsUpper = bIsUpper;
  127.     }

  129.     @Override public boolean isUpper()
  130.     {
  131.         return _bIsUpper;
  132.     }

  134.     @Override public int boundVariateIndex()
  135.     {
  136.         return _iBoundVariateIndex;
  137.     }

  139.     @Override public double boundValue()
  140.     {
  141.         return _dblBoundValue;
  142.     }

  144.     @Override public boolean violated (
  145.         final double dblVariate)
  146.         throws java.lang.Exception
  147.     {
  148.         if (!org.drip.numerical.common.NumberUtil.IsValid (dblVariate))
  149.             throw new java.lang.Exception ("AffineBoundMultivariate::violated => Invalid Inputs");

  151.         if (_bIsUpper && dblVariate > _dblBoundValue) return true;

  153.         if (!_bIsUpper && dblVariate < _dblBoundValue) return true;

  155.         return false;
  156.     }

  158.     @Override public int dimension()
  159.     {
  160.         return _iNumTotalVariate;
  161.     }

  163.     @Override public double evaluate (
  164.         final double[] adblVariate)
  165.         throws java.lang.Exception
  166.     {
  167.         if (null == adblVariate || !org.drip.numerical.common.NumberUtil.IsValid (adblVariate) ||
  168.             adblVariate.length != dimension())
  169.             throw new java.lang.Exception ("AffineBoundMultivariate::evaluate => Invalid Inputs");

  171.         return _bIsUpper ? _dblBoundValue - adblVariate[_iBoundVariateIndex] :
  172.             adblVariate[_iBoundVariateIndex] - _dblBoundValue;
  173.     }

  175.     @Override public double[] jacobian (
  176.         final double[] adblVariate)
  177.     {
  178.         double[] adblJacobian = new double[_iNumTotalVariate];

  180.         for (int i = 0; i < _iNumTotalVariate; ++i)
  181.             adblJacobian[i] = i == _iBoundVariateIndex ? (_bIsUpper ? -1. : 1.) : 0.;

  183.         return adblJacobian;
  184.     }

  186.     @Override public double[][] hessian (
  187.         final double[] adblVariate)
  188.     {
  189.         int iDimension = dimension();

  191.         double[][] aadblHessian = new double[iDimension][iDimension];

  193.         for (int i = 0; i < iDimension; ++i) {
  194.             for (int j = 0; j < iDimension; ++j)
  195.                 aadblHessian[i][j] = 0.;
  196.         }

  198.         return aadblHessian;
  199.     }
  200. }
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