ObjectiveConstraintVariateSet.java
package org.drip.function.rdtor1;
/*
* -*- 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
*
* 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>ObjectiveConstraintVariateSet</i> holds a R<sup>d</sup> To R<sup>1</sup> Variates corresponding to the
* Objective Function and the Constraint Function respectively.
*
* <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/rdtor1/README.md">Built-in R<sup>d</sup> To R<sup>1</sup> Functions</a></li>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public class ObjectiveConstraintVariateSet {
private double[] _adblObjectiveVariate = null;
private double[] _adblConstraintVariate = null;
/**
* Make a Unitary Variate Set
*
* @param iNumVariate Number of Variates
*
* @return Unitary Variate Set
*/
public static final double[] Unitary (
final int iNumVariate)
{
if (0 >= iNumVariate) return null;
double[] adblVariate = new double[iNumVariate];
for (int i = 0; i < iNumVariate; ++i)
adblVariate[i] = 1.;
return adblVariate;
}
/**
* Make a Variate Set with/without Constraint
*
* @param iNumObjectiveFunctionVariate Number of the Objective Function Variates
* @param iNumConstraintFunctionVariate Number of the Constraint Function Variates
*
* @return Variate Set with/without Constraint
*/
public static final double[] Uniform (
final int iNumObjectiveFunctionVariate,
final int iNumConstraintFunctionVariate)
{
if (0 >= iNumObjectiveFunctionVariate) return null;
double[] adblVariate = new double[iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate];
for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
adblVariate[i] = 1. / iNumObjectiveFunctionVariate;
for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
adblVariate[i + iNumObjectiveFunctionVariate] = 0.;
return adblVariate;
}
/**
* Make a Variate Set using a Pre-set Objective Variate Array with/without Constraint
*
* @param adblObjectiveFunctionVariate Array of Pre-set Objective Variates
* @param iNumConstraintFunctionVariate Number of the Constraint Function Variates
*
* @return Variate Set using a Pre-set Objective Variate Array with/without Constraint
*/
public static final double[] Preset (
final double[] adblObjectiveFunctionVariate,
final int iNumConstraintFunctionVariate)
{
if (null == adblObjectiveFunctionVariate) return null;
int iNumObjectiveFunctionVariate = adblObjectiveFunctionVariate.length;
if (0 >= iNumObjectiveFunctionVariate) return null;
double[] adblVariate = new double[iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate];
for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
adblVariate[i] = adblObjectiveFunctionVariate[i];
for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
adblVariate[i + iNumObjectiveFunctionVariate] = 0.;
return adblVariate;
}
/**
* Partition the Variate Array into the Objective Function Input Variates and the Constraint Variate
*
* @param adblVariate The Input Variate Array
* @param iNumObjectiveFunctionVariate Number of the Objective Function Variates
*
* @return The ObjectiveConstraintVariateSet Instance
*/
public static final ObjectiveConstraintVariateSet Partition (
final double[] adblVariate,
final int iNumObjectiveFunctionVariate)
{
if (null == adblVariate || 0 == iNumObjectiveFunctionVariate) return null;
int iNumVariate = adblVariate.length;
double[] adblObjectiveVariate = new double[iNumObjectiveFunctionVariate];
double[] adblConstraintVariate = new double[iNumVariate - iNumObjectiveFunctionVariate];
if (iNumObjectiveFunctionVariate >= iNumVariate) return null;
for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
adblObjectiveVariate[i] = adblVariate[i];
for (int i = iNumObjectiveFunctionVariate; i < iNumVariate; ++i)
adblConstraintVariate[i - iNumObjectiveFunctionVariate] = adblVariate[i];
try {
return new ObjectiveConstraintVariateSet (adblObjectiveVariate, adblConstraintVariate);
} catch (java.lang.Exception e) {
e.printStackTrace();
}
return null;
}
/**
* ObjectiveConstraintVariate Constructor
*
* @param adblObjectiveVariate Array of the Objective Function Variates
* @param adblConstraintVariate Array of the Constraint Function Variates
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public ObjectiveConstraintVariateSet (
final double[] adblObjectiveVariate,
final double[] adblConstraintVariate)
throws java.lang.Exception
{
if (null == (_adblObjectiveVariate = adblObjectiveVariate) ||
!org.drip.numerical.common.NumberUtil.IsValid (_adblObjectiveVariate) || null ==
(_adblConstraintVariate = adblConstraintVariate) || !org.drip.numerical.common.NumberUtil.IsValid
(adblConstraintVariate))
throw new java.lang.Exception ("ObjectiveConstraintVariateSet Constructor => Invalid Inputs!");
}
/**
* Retrieve the Array of the Objective Function Variates
*
* @return The Array of the Objective Function Variates
*/
public double[] objectiveVariates()
{
return _adblObjectiveVariate;
}
/**
* Retrieve the Array of the Constraint Function Variates
*
* @return The Array of the Constraint Function Variates
*/
public double[] constraintVariates()
{
return _adblConstraintVariate;
}
/**
* Unify the Objective Function and the Constraint Function Input Variate Set
*
* @return The Unified Objective Function and the Constraint Function Input Variate Set
*/
public double[] unify()
{
int iNumObjectiveFunctionVariate = _adblObjectiveVariate.length;
int iNumConstraintFunctionVariate = _adblConstraintVariate.length;
int iNumVariate = iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate;
double[] adblVariate = new double[iNumVariate];
for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
adblVariate[i] = _adblObjectiveVariate[i];
for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
adblVariate[iNumObjectiveFunctionVariate + i] = _adblConstraintVariate[i];
return adblVariate;
}
}