ArmijoEvolutionVerifier.java

  1. package org.drip.function.rdtor1descent;

  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>ArmijoEvolutionVerifier</i> implements the Armijo Criterion used for the Inexact Line Search Increment
  82.  * Generation to ascertain that the Function has reduced sufficiently. The Reference is:
  83.  * <br><br>
  84.  *  <ul>
  85.  *      <li>
  86.  *          Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial
  87.  *              Derivatives <i>Pacific Journal of Mathematics</i> <b>16 (1)</b> 1-3
  88.  *      </li>
  89.  *  </ul>
  90.  *
  91.  *  <br><br>
  92.  *  <ul>
  93.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  94.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  95.  *      <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>
  96.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/function/rdtor1descent/README.md">R<sup>d</sup> To R<sup>1</sup> Gradient Descent Techniques</a></li>
  97.  *  </ul>
  98.  *
  99.  * @author Lakshmi Krishnamurthy
  100.  */

  102. public class ArmijoEvolutionVerifier
  103.     extends org.drip.function.rdtor1descent.LineEvolutionVerifier
  104. {

  106.     /**
  107.      * The Nocedal-Wright Armijo Parameter
  108.      */

  110.     public static final double NOCEDAL_WRIGHT_ARMIJO_PARAMETER = 0.0001;

  112.     private boolean _maximizerCheck = false;
  113.     private double _armijoParameter = java.lang.Double.NaN;

  115.     /**
  116.      * Construct the Nocedal-Wright Armijo Evolution Verifier
  117.      * 
  118.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  119.      * 
  120.      * @return The Nocedal-Wright Armijo Evolution Verifier Instance
  121.      */

  123.     public static final ArmijoEvolutionVerifier NocedalWrightStandard (
  124.         final boolean maximizerCheck)
  125.     {
  126.         try
  127.         {
  128.             return new ArmijoEvolutionVerifier (
  129.                 NOCEDAL_WRIGHT_ARMIJO_PARAMETER,
  130.                 maximizerCheck
  131.             );
  132.         }
  133.         catch (java.lang.Exception e)
  134.         {
  135.             e.printStackTrace();
  136.         }

  138.         return null;
  139.     }

  141.     /**
  142.      * ArmijoEvolutionVerifier Constructor
  143.      * 
  144.      * @param armijoParameter The Armijo Parameter
  145.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  146.      * 
  147.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  148.      */

  150.     public ArmijoEvolutionVerifier (
  151.         final double armijoParameter,
  152.         final boolean maximizerCheck)
  153.         throws java.lang.Exception
  154.     {
  155.         if (!org.drip.numerical.common.NumberUtil.IsValid (_armijoParameter = armijoParameter))
  156.         {
  157.             throw new java.lang.Exception ("ArmijoEvolutionVerifier Constructor => Invalid Inputs");
  158.         }

  160.         _maximizerCheck = maximizerCheck;
  161.     }

  163.     /**
  164.      * Indicate if the Check is for Minimizer/Maximizer
  165.      * 
  166.      * @return TRUE - The Check is for Maximizer
  167.      */

  169.     public boolean maximizerCheck()
  170.     {
  171.         return _maximizerCheck;
  172.     }

  174.     /**
  175.      * Retrieve the Armijo Parameter
  176.      * 
  177.      * @return The Armijo Parameter
  178.      */

  180.     public double armijoParameter()
  181.     {
  182.         return _armijoParameter;
  183.     }

  185.     @Override public org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics metrics (
  186.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  187.         final double[] currentVariateArray,
  188.         final org.drip.function.definition.RdToR1 multivariateFunction,
  189.         final double stepLength)
  190.     {
  191.         try
  192.         {
  193.             return null == multivariateFunction ? null :
  194.                 new org.drip.function.rdtor1descent.ArmijoEvolutionVerifierMetrics (
  195.                     _armijoParameter,
  196.                     _maximizerCheck,
  197.                     targetDirectionUnitVector,
  198.                     currentVariateArray,
  199.                     stepLength,
  200.                     multivariateFunction.evaluate (
  201.                         currentVariateArray
  202.                     ),
  203.                     multivariateFunction.evaluate (
  204.                         NextVariateArray (
  205.                             targetDirectionUnitVector,
  206.                             currentVariateArray,
  207.                             stepLength
  208.                         )
  209.                     ),
  210.                     multivariateFunction.jacobian (
  211.                         currentVariateArray
  212.                     )
  213.                 );
  214.         }
  215.         catch (java.lang.Exception e)
  216.         {
  217.             e.printStackTrace();
  218.         }

  220.         return null;
  221.     }
  222. }
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