LineStepEvolutionControl.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>LineStepEvolutionControl</i> contains the Parameters required to compute the Valid a Line Step. The
  82.  * 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 class LineStepEvolutionControl
  114. {
  115.     private int _reductionStepCount = -1;
  116.     private double _reductionFactor = java.lang.Double.NaN;
  117.     private org.drip.function.rdtor1descent.LineEvolutionVerifier _lineEvolutionVerifier = null;

  119.     /**
  120.      * Retrieve the Nocedal-Wright-Armijo Verifier Based Standard LineStepEvolutionControl Instance
  121.      * 
  122.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  123.      * 
  124.      * @return The Nocedal-Wright-Armijo Verifier Based Standard LineStepEvolutionControl Instance
  125.      */

  127.     public static final LineStepEvolutionControl NocedalWrightArmijo (
  128.         final boolean maximizerCheck)
  129.     {
  130.         try
  131.         {
  132.             return new LineStepEvolutionControl (
  133.                 org.drip.function.rdtor1descent.ArmijoEvolutionVerifier.NocedalWrightStandard (
  134.                     maximizerCheck
  135.                 ),
  136.                 0.75,
  137.                 1
  138.             );
  139.         }
  140.         catch (java.lang.Exception e)
  141.         {
  142.             e.printStackTrace();
  143.         }

  145.         return null;
  146.     }

  148.     /**
  149.      * Retrieve the Nocedal-Wright-Weak Curvature Verifier Based Standard LineStepEvolutionControl Instance
  150.      * 
  151.      * @return The Nocedal-Wright-Weak Curvature Verifier Based Standard LineStepEvolutionControl Instance
  152.      */

  154.     public static final LineStepEvolutionControl NocedalWrightWeakCurvature()
  155.     {
  156.         try
  157.         {
  158.             return new LineStepEvolutionControl (
  159.                 org.drip.function.rdtor1descent.CurvatureEvolutionVerifier.NocedalWrightStandard (
  160.                     false
  161.                 ),
  162.                 0.75,
  163.                 1
  164.             );
  165.         }
  166.         catch (java.lang.Exception e)
  167.         {
  168.             e.printStackTrace();
  169.         }

  171.         return null;
  172.     }

  174.     /**
  175.      * Retrieve the Nocedal-Wright-Strong Curvature Verifier Based Standard LineStepEvolutionControl Instance
  176.      * 
  177.      * @return The Nocedal-Wright-Strong Curvature Verifier Based Standard LineStepEvolutionControl Instance
  178.      */

  180.     public static final LineStepEvolutionControl NocedalWrightStrongCurvature()
  181.     {
  182.         try
  183.         {
  184.             return new LineStepEvolutionControl (
  185.                 org.drip.function.rdtor1descent.CurvatureEvolutionVerifier.NocedalWrightStandard (
  186.                     true
  187.                 ),
  188.                 0.75,
  189.                 1
  190.             );
  191.         }
  192.         catch (java.lang.Exception e)
  193.         {
  194.             e.printStackTrace();
  195.         }

  197.         return null;
  198.     }

  200.     /**
  201.      * Retrieve the Nocedal-Wright-Weak Wolfe Verifier Based Standard LineStepEvolutionControl Instance
  202.      * 
  203.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  204.      * 
  205.      * @return The Nocedal-Wright-Weak Wolfe Verifier Based Standard LineStepEvolutionControl Instance
  206.      */

  208.     public static final LineStepEvolutionControl NocedalWrightWeakWolfe (
  209.         final boolean maximizerCheck)
  210.     {
  211.         try
  212.         {
  213.             return new LineStepEvolutionControl (
  214.                 org.drip.function.rdtor1descent.WolfeEvolutionVerifier.NocedalWrightStandard (
  215.                     maximizerCheck,
  216.                     false
  217.                 ),
  218.                 0.75,
  219.                 1
  220.             );
  221.         }
  222.         catch (java.lang.Exception e)
  223.         {
  224.             e.printStackTrace();
  225.         }

  227.         return null;
  228.     }

  230.     /**
  231.      * Retrieve the Nocedal-Wright-Strong Wolfe Verifier Based Standard LineStepEvolutionControl Instance
  232.      * 
  233.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  234.      * 
  235.      * @return The Nocedal-Wright-Strong Wolfe Verifier Based Standard LineStepEvolutionControl Instance
  236.      */

  238.     public static final LineStepEvolutionControl NocedalWrightStrongWolfe (
  239.         final boolean maximizerCheck)
  240.     {
  241.         try
  242.         {
  243.             return new LineStepEvolutionControl (
  244.                 org.drip.function.rdtor1descent.WolfeEvolutionVerifier.NocedalWrightStandard (
  245.                     maximizerCheck,
  246.                     true
  247.                 ),
  248.                 0.75,
  249.                 1
  250.             );
  251.         }
  252.         catch (java.lang.Exception e)
  253.         {
  254.             e.printStackTrace();
  255.         }

  257.         return null;
  258.     }

  260.     /**
  261.      * LineStepEvolutionControl Constructor
  262.      * 
  263.      * @param lineEvolutionVerifier The Line Evolution Verifier Instance
  264.      * @param reductionFactor The Per-Step Reduction Factor
  265.      * @param reductionStepCount Count of Reduction Steps
  266.      * 
  267.      * @throws java.lang.Exception Thrown if Inputs are Invalid
  268.      */

  270.     public LineStepEvolutionControl (
  271.         final org.drip.function.rdtor1descent.LineEvolutionVerifier lineEvolutionVerifier,
  272.         final double reductionFactor,
  273.         final int reductionStepCount)
  274.         throws java.lang.Exception
  275.     {
  276.         if (null == (_lineEvolutionVerifier = lineEvolutionVerifier) ||
  277.             !org.drip.numerical.common.NumberUtil.IsValid (_reductionFactor = reductionFactor) ||
  278.                 1. <= _reductionFactor ||
  279.             0 >= (_reductionStepCount = reductionStepCount))
  280.         {
  281.             throw new java.lang.Exception ("LineStepEvolutionControl Constructor => Invalid Inputs");
  282.         }
  283.     }

  285.     /**
  286.      * Retrieve the Line Evolution Verifier Instance
  287.      * 
  288.      * @return The Line Evolution Verifier Instance
  289.      */

  291.     public org.drip.function.rdtor1descent.LineEvolutionVerifier lineEvolutionVerifier()
  292.     {
  293.         return _lineEvolutionVerifier;
  294.     }

  296.     /**
  297.      * Retrieve the Reduction Factor per Step
  298.      * 
  299.      * @return The Reduction Factor per Step
  300.      */

  302.     public double reductionFactor()
  303.     {
  304.         return _reductionFactor;
  305.     }

  307.     /**
  308.      * Retrieve the Count of Reduction Steps
  309.      * 
  310.      * @return The Count of Reduction Steps
  311.      */

  313.     public int reductionStepCount()
  314.     {
  315.         return _reductionStepCount;
  316.     }
  317. }
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