LineEvolutionVerifier.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>LineEvolutionVerifier</i> implements the Step Length Verification Criterion used for the Inexact Line
  82.  * Search Increment Generation. The References are:
  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.  *      <li>
  90.  *          Nocedal, J., and S. Wright (1999): <i>Numerical Optimization</i> <b>Wiley</b>
  91.  *      </li>
  92.  *      <li>
  93.  *          Wolfe, P. (1969): Convergence Conditions for Ascent Methods <i>SIAM Review</i> <b>11 (2)</b>
  94.  *              226-235
  95.  *      </li>
  96.  *      <li>
  97.  *          Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections <i>SIAM
  98.  *              Review</i> <b>13 (2)</b> 185-188
  99.  *      </li>
  100.  *  </ul>
  101.  *
  102.  *  <br><br>
  103.  *  <ul>
  104.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  105.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  106.  *      <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>
  107.  *      <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>
  108.  *  </ul>
  109.  *
  110.  * @author Lakshmi Krishnamurthy
  111.  */

  113. public abstract class LineEvolutionVerifier
  114. {

  116.     protected static final double[] NextVariateArray (
  117.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  118.         final double[] currentVariateArray,
  119.         final double stepLength)
  120.     {
  121.         if (null == currentVariateArray ||
  122.             !org.drip.numerical.common.NumberUtil.IsValid (stepLength))
  123.         {
  124.             return null;
  125.         }

  127.         int dimension = currentVariateArray.length;
  128.         double[] nextVariateArray = 0 == dimension ? null : new double[dimension];

  130.         if (null == nextVariateArray || null == targetDirectionUnitVector)
  131.         {
  132.             return null;
  133.         }

  135.         double[] targetDirectionVector = targetDirectionUnitVector.component();

  137.         if (null == targetDirectionVector || dimension != targetDirectionVector.length)
  138.         {
  139.             return null;
  140.         }

  142.         for (int dimensionIndex = 0;
  143.             dimensionIndex < dimension;
  144.             ++dimensionIndex)
  145.         {
  146.             if (!org.drip.numerical.common.NumberUtil.IsValid (currentVariateArray[dimensionIndex]) ||
  147.                 !org.drip.numerical.common.NumberUtil.IsValid (targetDirectionVector[dimensionIndex]))
  148.             {
  149.                 return null;
  150.             }

  152.             nextVariateArray[dimensionIndex] = currentVariateArray[dimensionIndex] +
  153.                 stepLength * targetDirectionVector[dimensionIndex];
  154.         }

  156.         return nextVariateArray;
  157.     }

  159.     /**
  160.      * Verify if the specified Inputs satisfy the Criterion
  161.      * 
  162.      * @param targetDirectionUnitVector The Target Direction Unit Vector
  163.      * @param currentVariateArray The Current Variate
  164.      * @param multivariateFunction The R<sup>d</sup> To R<sup>1</sup> Function
  165.      * @param stepLength The Incremental Step Length
  166.      * 
  167.      * @return TRUE - The Specified Inputs satisfy the Criterion
  168.      * 
  169.      * @throws java.lang.Exception Thrown if the Verification cannot be performed
  170.      */

  172.     public boolean verify (
  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.         throws java.lang.Exception
  178.     {
  179.         org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics lineEvolutionVerifierMetrics = metrics (
  180.             targetDirectionUnitVector,
  181.             currentVariateArray,
  182.             multivariateFunction,
  183.             stepLength
  184.         );

  186.         if (null == lineEvolutionVerifierMetrics)
  187.         {
  188.             throw new java.lang.Exception ("LineEvolutionVerifier::verify => Cannot Verify");
  189.         }

  191.         return lineEvolutionVerifierMetrics.verify();
  192.     }

  194.     /**
  195.      * Generate the Verifier Metrics for the Specified Inputs
  196.      * 
  197.      * @param targetDirectionUnitVector The Target Direction Unit Vector
  198.      * @param currentVariateArray The Current Variate
  199.      * @param multivariateFunction The R<sup>d</sup> To R<sup>1</sup> Function
  200.      * @param stepLength The Incremental Step Length
  201.      * 
  202.      * @return The Verifier Metrics
  203.      */

  205.     public abstract org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics metrics (
  206.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  207.         final double[] currentVariateArray,
  208.         final org.drip.function.definition.RdToR1 multivariateFunction,
  209.         final double stepLength);
  210. }
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