ObjectiveConstraintVariateSet.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>ObjectiveConstraintVariateSet</i> holds a R<sup>d</sup> To R<sup>1</sup> Variates corresponding to the
  82.  * Objective Function and the Constraint Function respectively.
  83.  *
  84.  *  <br><br>
  85.  *  <ul>
  86.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  87.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  88.  *      <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>
  89.  *      <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>
  90.  *  </ul>
  91.  *
  92.  * @author Lakshmi Krishnamurthy
  93.  */

  95. public class ObjectiveConstraintVariateSet {
  96.     private double[] _adblObjectiveVariate = null;
  97.     private double[] _adblConstraintVariate = null;

  99.     /**
  100.      * Make a Unitary Variate Set
  101.      * 
  102.      * @param iNumVariate Number of Variates
  103.      * 
  104.      * @return Unitary Variate Set
  105.      */

  107.     public static final double[] Unitary (
  108.         final int iNumVariate)
  109.     {
  110.         if (0 >= iNumVariate) return null;

  112.         double[] adblVariate = new double[iNumVariate];

  114.         for (int i = 0; i < iNumVariate; ++i)
  115.             adblVariate[i] = 1.;

  117.         return adblVariate;
  118.     }

  120.     /**
  121.      * Make a Variate Set with/without Constraint
  122.      * 
  123.      * @param iNumObjectiveFunctionVariate Number of the Objective Function Variates
  124.      * @param iNumConstraintFunctionVariate Number of the Constraint Function Variates
  125.      * 
  126.      * @return Variate Set with/without Constraint
  127.      */

  129.     public static final double[] Uniform (
  130.         final int iNumObjectiveFunctionVariate,
  131.         final int iNumConstraintFunctionVariate)
  132.     {
  133.         if (0 >= iNumObjectiveFunctionVariate) return null;

  135.         double[] adblVariate = new double[iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate];

  137.         for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
  138.             adblVariate[i] = 1. / iNumObjectiveFunctionVariate;

  140.         for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
  141.             adblVariate[i + iNumObjectiveFunctionVariate] = 0.;

  143.         return adblVariate;
  144.     }

  146.     /**
  147.      * Make a Variate Set using a Pre-set Objective Variate Array with/without Constraint
  148.      * 
  149.      * @param adblObjectiveFunctionVariate Array of Pre-set Objective Variates
  150.      * @param iNumConstraintFunctionVariate Number of the Constraint Function Variates
  151.      * 
  152.      * @return Variate Set using a Pre-set Objective Variate Array with/without Constraint
  153.      */

  155.     public static final double[] Preset (
  156.         final double[] adblObjectiveFunctionVariate,
  157.         final int iNumConstraintFunctionVariate)
  158.     {
  159.         if (null == adblObjectiveFunctionVariate) return null;

  161.         int iNumObjectiveFunctionVariate = adblObjectiveFunctionVariate.length;

  163.         if (0 >= iNumObjectiveFunctionVariate) return null;

  165.         double[] adblVariate = new double[iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate];

  167.         for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
  168.             adblVariate[i] = adblObjectiveFunctionVariate[i];

  170.         for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
  171.             adblVariate[i + iNumObjectiveFunctionVariate] = 0.;

  173.         return adblVariate;
  174.     }

  176.     /**
  177.      * Partition the Variate Array into the Objective Function Input Variates and the Constraint Variate
  178.      * 
  179.      * @param adblVariate The Input Variate Array
  180.      * @param iNumObjectiveFunctionVariate Number of the Objective Function Variates
  181.      * 
  182.      * @return The ObjectiveConstraintVariateSet Instance
  183.      */

  185.     public static final ObjectiveConstraintVariateSet Partition (
  186.         final double[] adblVariate,
  187.         final int iNumObjectiveFunctionVariate)
  188.     {
  189.         if (null == adblVariate || 0 == iNumObjectiveFunctionVariate) return null;

  191.         int iNumVariate = adblVariate.length;
  192.         double[] adblObjectiveVariate = new double[iNumObjectiveFunctionVariate];
  193.         double[] adblConstraintVariate = new double[iNumVariate - iNumObjectiveFunctionVariate];

  195.         if (iNumObjectiveFunctionVariate >= iNumVariate) return null;

  197.         for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
  198.             adblObjectiveVariate[i] = adblVariate[i];

  200.         for (int i = iNumObjectiveFunctionVariate; i < iNumVariate; ++i)
  201.             adblConstraintVariate[i - iNumObjectiveFunctionVariate] = adblVariate[i];

  203.         try {
  204.             return new ObjectiveConstraintVariateSet (adblObjectiveVariate, adblConstraintVariate);
  205.         } catch (java.lang.Exception e) {
  206.             e.printStackTrace();
  207.         }

  209.         return null;
  210.     }

  212.     /**
  213.      * ObjectiveConstraintVariate Constructor
  214.      * 
  215.      * @param adblObjectiveVariate Array of the Objective Function Variates
  216.      * @param adblConstraintVariate Array of the Constraint Function Variates
  217.      * 
  218.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  219.      */

  221.     public ObjectiveConstraintVariateSet (
  222.         final double[] adblObjectiveVariate,
  223.         final double[] adblConstraintVariate)
  224.         throws java.lang.Exception
  225.     {
  226.         if (null == (_adblObjectiveVariate = adblObjectiveVariate) ||
  227.             !org.drip.numerical.common.NumberUtil.IsValid (_adblObjectiveVariate) || null ==
  228.                 (_adblConstraintVariate = adblConstraintVariate) || !org.drip.numerical.common.NumberUtil.IsValid
  229.                     (adblConstraintVariate))
  230.             throw new java.lang.Exception ("ObjectiveConstraintVariateSet Constructor => Invalid Inputs!");
  231.     }

  233.     /**
  234.      * Retrieve the Array of the Objective Function Variates
  235.      * 
  236.      * @return The Array of the Objective Function Variates
  237.      */

  239.     public double[] objectiveVariates()
  240.     {
  241.         return _adblObjectiveVariate;
  242.     }

  244.     /**
  245.      * Retrieve the Array of the Constraint Function Variates
  246.      * 
  247.      * @return The Array of the Constraint Function Variates
  248.      */

  250.     public double[] constraintVariates()
  251.     {
  252.         return _adblConstraintVariate;
  253.     }

  255.     /**
  256.      * Unify the Objective Function and the Constraint Function Input Variate Set
  257.      * 
  258.      * @return The Unified Objective Function and the Constraint Function Input Variate Set
  259.      */

  261.     public double[] unify()
  262.     {
  263.         int iNumObjectiveFunctionVariate = _adblObjectiveVariate.length;
  264.         int iNumConstraintFunctionVariate = _adblConstraintVariate.length;
  265.         int iNumVariate = iNumObjectiveFunctionVariate + iNumConstraintFunctionVariate;
  266.         double[] adblVariate = new double[iNumVariate];

  268.         for (int i = 0; i < iNumObjectiveFunctionVariate; ++i)
  269.             adblVariate[i] = _adblObjectiveVariate[i];

  271.         for (int i = 0; i < iNumConstraintFunctionVariate; ++i)
  272.             adblVariate[iNumObjectiveFunctionVariate + i] = _adblConstraintVariate[i];

  274.         return adblVariate;
  275.     }
  276. }
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