LineEvolutionVerifierMetrics.java
package org.drip.function.rdtor1descent;
/*
* -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
*/
/*!
* Copyright (C) 2020 Lakshmi Krishnamurthy
* Copyright (C) 2019 Lakshmi Krishnamurthy
* Copyright (C) 2018 Lakshmi Krishnamurthy
* Copyright (C) 2017 Lakshmi Krishnamurthy
* Copyright (C) 2016 Lakshmi Krishnamurthy
*
* This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
* asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
* analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
* equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
* numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
* and computational support.
*
* https://lakshmidrip.github.io/DROP/
*
* DROP is composed of three modules:
*
* - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
* - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
* - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
*
* DROP Product Core implements libraries for the following:
* - Fixed Income Analytics
* - Loan Analytics
* - Transaction Cost Analytics
*
* DROP Portfolio Core implements libraries for the following:
* - Asset Allocation Analytics
* - Asset Liability Management Analytics
* - Capital Estimation Analytics
* - Exposure Analytics
* - Margin Analytics
* - XVA Analytics
*
* DROP Computational Core implements libraries for the following:
* - Algorithm Support
* - Computation Support
* - Function Analysis
* - Model Validation
* - Numerical Analysis
* - Numerical Optimizer
* - Spline Builder
* - Statistical Learning
*
* Documentation for DROP is Spread Over:
*
* - Main => https://lakshmidrip.github.io/DROP/
* - Wiki => https://github.com/lakshmiDRIP/DROP/wiki
* - GitHub => https://github.com/lakshmiDRIP/DROP
* - Repo Layout Taxonomy => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
* - Javadoc => https://lakshmidrip.github.io/DROP/Javadoc/index.html
* - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
* - Release Versions => https://lakshmidrip.github.io/DROP/version.html
* - Community Credits => https://lakshmidrip.github.io/DROP/credits.html
* - Issues Catalog => https://github.com/lakshmiDRIP/DROP/issues
* - JUnit => https://lakshmidrip.github.io/DROP/junit/index.html
* - Jacoco => https://lakshmidrip.github.io/DROP/jacoco/index.html
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
*
* You may obtain a copy of the License at
* http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
*
* See the License for the specific language governing permissions and
* limitations under the License.
*/
/**
* <i>LineEvolutionVerifierMetrics</i> implements the Step Length Verification Criterion used for the Inexact
* Line Search Increment Generation. The References are:
* <br><br>
* <ul>
* <li>
* Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial
* Derivatives <i>Pacific Journal of Mathematics</i> <b>16 (1)</b> 1-3
* </li>
* <li>
* Nocedal, J., and S. Wright (1999): <i>Numerical Optimization</i> <b>Wiley</b>
* </li>
* <li>
* Wolfe, P. (1969): Convergence Conditions for Ascent Methods <i>SIAM Review</i> <b>11 (2)</b>
* 226-235
* </li>
* <li>
* Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections <i>SIAM
* Review</i> <b>13 (2)</b> 185-188
* </li>
* </ul>
*
* <br><br>
* <ul>
* <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
* <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
* <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>
* <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>
* </ul>
*
* @author Lakshmi Krishnamurthy
*/
public abstract class LineEvolutionVerifierMetrics
{
private double[] _currentVariateArray = null;
private double _stepLength = java.lang.Double.NaN;
private double[] _currentVariateFunctionJacobian = null;
private org.drip.function.definition.UnitVector _targetDirection = null;
protected LineEvolutionVerifierMetrics (
final org.drip.function.definition.UnitVector targetDirection,
final double[] currentVariateArray,
final double stepLength,
final double[] currentVariateFunctionJacobian)
throws java.lang.Exception
{
if (null == (_targetDirection = targetDirection) ||
null == (_currentVariateArray = currentVariateArray) ||
!org.drip.numerical.common.NumberUtil.IsValid (_stepLength = stepLength) ||
null == (_currentVariateFunctionJacobian = currentVariateFunctionJacobian) ||
_currentVariateArray.length != _currentVariateFunctionJacobian.length)
{
throw new java.lang.Exception ("LineEvolutionVerifierMetrics Constructor => Invalid Inputs");
}
}
/**
* Retrieve the Current Variate Array
*
* @return The Current Variate Array
*/
public double[] currentVariateArray()
{
return _currentVariateArray;
}
/**
* Retrieve the Target Direction Unit Vector
*
* @return The Target Direction Unit Vector
*/
public org.drip.function.definition.UnitVector targetDirection()
{
return _targetDirection;
}
/**
* Retrieve the Step Length
*
* @return The Step Length
*/
public double stepLength()
{
return _stepLength;
}
/**
* Retrieve the Function Jacobian at the Current Variate
*
* @return The Function Jacobian at the Current Variate
*/
public double[] currentVariateFunctionJacobian()
{
return _currentVariateFunctionJacobian;
}
@Override public java.lang.String toString()
{
double[] targetDirectionVector = _targetDirection.component();
java.lang.String string = "\t[";
int variateCount = _currentVariateArray.length;
for (int variateIndex = 0;
variateIndex < variateCount;
++variateIndex)
{
string = string + org.drip.numerical.common.FormatUtil.FormatDouble (
_currentVariateArray[variateIndex],
2,
3,
1.
) + " |";
}
string = string + "]" + org.drip.numerical.common.FormatUtil.FormatDouble (
_stepLength,
1,
3,
1.
) + " || {";
for (int variateIndex = 0;
variateIndex < variateCount;
++variateIndex)
{
string = string + org.drip.numerical.common.FormatUtil.FormatDouble (
targetDirectionVector[variateIndex],
1,
2,
1.
) + " |";
}
return string + " }";
}
/**
* Indicate if the Evolution Criterion has been met
*
* @return TRUE - The Evolution Criterion has been met
*/
public abstract boolean verify();
}