CurvatureEvolutionVerifierMetrics.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>CurvatureEvolutionVerifierMetrics</i> implements the Armijo Criterion used for the Inexact Line Search
  82.  * Increment Generation to ascertain that the Gradient of the Function has reduced sufficiently. The
  83.  * References are:
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li>
  87.  *          Wolfe, P. (1969): Convergence Conditions for Ascent Methods <i>SIAM Review</i> <b>11 (2)</b>
  88.  *              226-235
  89.  *      </li>
  90.  *      <li>
  91.  *          Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections <i>SIAM
  92.  *              Review</i> <b>13 (2)</b> 185-188
  93.  *      </li>
  94.  *  </ul>
  95.  *
  96.  *  <br><br>
  97.  *  <ul>
  98.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  99.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  100.  *      <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>
  101.  *      <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>
  102.  *  </ul>
  103.  *
  104.  * @author Lakshmi Krishnamurthy
  105.  */

  107. public class CurvatureEvolutionVerifierMetrics
  108.     extends org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics
  109. {
  110.     private boolean _strongCurvatureCriterion = false;
  111.     private double[] _nextVariateFunctionJacobian = null;
  112.     private double _curvatureParameter = java.lang.Double.NaN;

  114.     /**
  115.      * CurvatureEvolutionVerifierMetrics Constructor
  116.      * 
  117.      * @param curvatureParameter The Curvature Criterion Parameter
  118.      * @param strongCurvatureCriterion TRUE - Apply the "Strong" Curvature Criterion
  119.      * @param targetDirectionUnitVector The Target Direction Unit Vector
  120.      * @param currentVariateArray Array of Current Variate
  121.      * @param stepLength The Incremental Step Length
  122.      * @param currentVariateFunctionJacobian The Function Jacobian at the Current Variate
  123.      * @param nextVariateFunctionJacobian The Function Jacobian at the Next Variate
  124.      * 
  125.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  126.      */

  128.     public CurvatureEvolutionVerifierMetrics (
  129.         final double curvatureParameter,
  130.         final boolean strongCurvatureCriterion,
  131.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  132.         final double[] currentVariateArray,
  133.         final double stepLength,
  134.         final double[] currentVariateFunctionJacobian,
  135.         final double[] nextVariateFunctionJacobian)
  136.         throws java.lang.Exception
  137.     {
  138.         super (
  139.             targetDirectionUnitVector,
  140.             currentVariateArray,
  141.             stepLength,
  142.             currentVariateFunctionJacobian
  143.         );

  145.         if (!org.drip.numerical.common.NumberUtil.IsValid (_curvatureParameter = curvatureParameter) ||
  146.             null == (_nextVariateFunctionJacobian = nextVariateFunctionJacobian) ||
  147.             currentVariateArray.length != _nextVariateFunctionJacobian.length)
  148.         {
  149.             throw new java.lang.Exception
  150.                 ("CurvatureEvolutionVerifierMetrics Constructor => Invalid Inputs");
  151.         }

  153.         _strongCurvatureCriterion = strongCurvatureCriterion;
  154.     }

  156.     /**
  157.      * Retrieve the Curvature Parameter
  158.      * 
  159.      * @return The Curvature Parameter
  160.      */

  162.     public double curvatureParameter()
  163.     {
  164.         return _curvatureParameter;
  165.     }

  167.     /**
  168.      * Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
  169.      * 
  170.      * @return TRUE - The "Strong" Curvature Criterion needs to be met
  171.      */

  173.     public boolean strongCurvatureCriterion()
  174.     {
  175.         return _strongCurvatureCriterion;
  176.     }

  178.     /**
  179.      * Retrieve the Function Jacobian at the Next Variate
  180.      * 
  181.      * @return The Function Jacobian at the Next Variate
  182.      */

  184.     public double[] nextVariateFunctionJacobian()
  185.     {
  186.         return _nextVariateFunctionJacobian;
  187.     }

  189.     /**
  190.      * Indicate if the Curvature Criterion has been met
  191.      * 
  192.      * @return TRUE - The Curvature Criterion has been met
  193.      */

  195.     public boolean verify()
  196.     {
  197.         double[] targetDirectionVector = targetDirection().component();

  199.         try
  200.         {
  201.             double nextFunctionIncrement = org.drip.numerical.linearalgebra.Matrix.DotProduct (
  202.                 targetDirectionVector,
  203.                 _nextVariateFunctionJacobian
  204.             );

  206.             double parametrizedCurrentFunctionIncrement =
  207.                 _curvatureParameter * org.drip.numerical.linearalgebra.Matrix.DotProduct (
  208.                     targetDirectionVector,
  209.                     currentVariateFunctionJacobian()
  210.                 );

  212.             return _strongCurvatureCriterion ?
  213.                 java.lang.Math.abs (
  214.                     nextFunctionIncrement
  215.                 ) <= java.lang.Math.abs (
  216.                     parametrizedCurrentFunctionIncrement
  217.                 ) : nextFunctionIncrement >= parametrizedCurrentFunctionIncrement;
  218.         }
  219.         catch (java.lang.Exception e)
  220.         {
  221.             e.printStackTrace();
  222.         }

  224.         return false;
  225.     }
  226. }
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