CurvatureEvolutionVerifier.java

  1. package org.drip.function.rdtor1descent;

  2. /*
  3.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  4.  */

  5. /*!
  6.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  7.  * Copyright (C) 2019 Lakshmi Krishnamurthy
  8.  * Copyright (C) 2018 Lakshmi Krishnamurthy
  9.  * Copyright (C) 2017 Lakshmi Krishnamurthy
  10.  * Copyright (C) 2016 Lakshmi Krishnamurthy
  11.  *
  12.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  13.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  14.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  15.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  16.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  17.  *      and computational support.
  18.  *  
  19.  *      https://lakshmidrip.github.io/DROP/
  20.  *  
  21.  *  DROP is composed of three modules:
  22.  *  
  23.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  24.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  25.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  26.  *
  27.  *  DROP Product Core implements libraries for the following:
  28.  *  - Fixed Income Analytics
  29.  *  - Loan Analytics
  30.  *  - Transaction Cost Analytics
  31.  *
  32.  *  DROP Portfolio Core implements libraries for the following:
  33.  *  - Asset Allocation Analytics
  34.  *  - Asset Liability Management Analytics
  35.  *  - Capital Estimation Analytics
  36.  *  - Exposure Analytics
  37.  *  - Margin Analytics
  38.  *  - XVA Analytics
  39.  *
  40.  *  DROP Computational Core implements libraries for the following:
  41.  *  - Algorithm Support
  42.  *  - Computation Support
  43.  *  - Function Analysis
  44.  *  - Model Validation
  45.  *  - Numerical Analysis
  46.  *  - Numerical Optimizer
  47.  *  - Spline Builder
  48.  *  - Statistical Learning
  49.  *
  50.  *  Documentation for DROP is Spread Over:
  51.  *
  52.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  53.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  54.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  55.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  56.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  57.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  58.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  59.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  60.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  61.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  62.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  63.  *
  64.  *  Licensed under the Apache License, Version 2.0 (the "License");
  65.  *      you may not use this file except in compliance with the License.
  66.  *  
  67.  *  You may obtain a copy of the License at
  68.  *      http://www.apache.org/licenses/LICENSE-2.0
  69.  *  
  70.  *  Unless required by applicable law or agreed to in writing, software
  71.  *      distributed under the License is distributed on an "AS IS" BASIS,
  72.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  73.  *  
  74.  *  See the License for the specific language governing permissions and
  75.  *      limitations under the License.
  76.  */

  77. /**
  78.  * <i>CurvatuveEvolutionVerifier</i> implements the Armijo Criterion used for the Inexact Line Search
  79.  * Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently. The
  80.  * References are:
  81.  * <br><br>
  82.  *  <ul>
  83.  *      <li>
  84.  *          Wolfe, P. (1969): Convergence Conditions for Ascent Methods <i>SIAM Review</i> <b>11 (2)</b>
  85.  *              226-235
  86.  *      </li>
  87.  *      <li>
  88.  *          Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections <i>SIAM
  89.  *              Review</i> <b>13 (2)</b> 185-188
  90.  *      </li>
  91.  *  </ul>
  92.  *
  93.  *  <br><br>
  94.  *  <ul>
  95.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  96.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  97.  *      <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>
  98.  *      <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>
  99.  *  </ul>
  100.  *
  101.  * @author Lakshmi Krishnamurthy
  102.  */

  103. public class CurvatureEvolutionVerifier
  104.     extends org.drip.function.rdtor1descent.LineEvolutionVerifier
  105. {

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

  109.     public static final double NOCEDAL_WRIGHT_CURVATURE_PARAMETER = 0.9;

  110.     private boolean _strongCurvatureCriterion = false;
  111.     private double _curvatureParameter = java.lang.Double.NaN;

  112.     /**
  113.      * Construct the Nocedal-Wright Curvature Evolution Verifier
  114.      *
  115.      * @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
  116.      *
  117.      * @return The Nocedal-Wright Curvature Evolution Verifier Instance
  118.      */

  119.     public static final CurvatureEvolutionVerifier NocedalWrightStandard (
  120.         final boolean strongCurvatureCriterion)
  121.     {
  122.         try
  123.         {
  124.             return new CurvatureEvolutionVerifier (
  125.                 NOCEDAL_WRIGHT_CURVATURE_PARAMETER,
  126.                 strongCurvatureCriterion
  127.             );
  128.         }
  129.         catch (java.lang.Exception e)
  130.         {
  131.             e.printStackTrace();
  132.         }

  133.         return null;
  134.     }

  135.     /**
  136.      * CurvatureEvolutionVerifier Constructor
  137.      *
  138.      * @param curvatureParameter The Curvature Parameter
  139.      * @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
  140.      *
  141.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  142.      */

  143.     public CurvatureEvolutionVerifier (
  144.         final double curvatureParameter,
  145.         final boolean strongCurvatureCriterion)
  146.         throws java.lang.Exception
  147.     {
  148.         if (!org.drip.numerical.common.NumberUtil.IsValid (_curvatureParameter = curvatureParameter))
  149.         {
  150.             throw new java.lang.Exception ("CurvatureEvolutionVerifier Constructor => Invalid Inputs");
  151.         }

  152.         _strongCurvatureCriterion = strongCurvatureCriterion;
  153.     }

  154.     /**
  155.      * Retrieve the Curvature Parameter
  156.      *
  157.      * @return The Curvature Parameter
  158.      */

  159.     public double curvatureParameter()
  160.     {
  161.         return _curvatureParameter;
  162.     }

  163.     /**
  164.      * Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
  165.      *
  166.      * @return TRUE - The "Strong" Curvature Criterion needs to be met
  167.      */

  168.     public boolean strongCurvatureCriterion()
  169.     {
  170.         return _strongCurvatureCriterion;
  171.     }

  172.     @Override public org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics metrics (
  173.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  174.         final double[] currentVariateArray,
  175.         final org.drip.function.definition.RdToR1 multivariateFunction,
  176.         final double stepLength)
  177.     {
  178.         try
  179.         {
  180.             return null == multivariateFunction ? null :
  181.                 new org.drip.function.rdtor1descent.CurvatureEvolutionVerifierMetrics (
  182.                     _curvatureParameter,
  183.                     _strongCurvatureCriterion,
  184.                     targetDirectionUnitVector,
  185.                     currentVariateArray,
  186.                     stepLength,
  187.                     multivariateFunction.jacobian (
  188.                         currentVariateArray
  189.                     ),
  190.                     multivariateFunction.jacobian (
  191.                         NextVariateArray (
  192.                             targetDirectionUnitVector,
  193.                             currentVariateArray,
  194.                             stepLength
  195.                         )
  196.                     )
  197.                 );
  198.         }
  199.         catch (java.lang.Exception e)
  200.         {
  201.             e.printStackTrace();
  202.         }

  203.         return null;
  204.     }
  205. }