WolfeEvolutionVerifier.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>WolfeEvolutionVerifier</i> implements the Wolfe 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 class WolfeEvolutionVerifier
extends org.drip.function.rdtor1descent.LineEvolutionVerifier
{
private boolean _maximizerCheck = false;
private boolean _strongCurvatureCriterion = false;
private double _armijoParameter = java.lang.Double.NaN;
private double _curvatureParameter = java.lang.Double.NaN;
/**
* Construct the Nocedal-Wright Wolfe Evolution Verifier
*
* @param maximizerCheck TRUE - Perform a Check for the Function Maxima
* @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
*
* @return The Nocedal-Wright Wolfe Evolution Verifier Instance
*/
public static final WolfeEvolutionVerifier NocedalWrightStandard (
final boolean maximizerCheck,
final boolean strongCurvatureCriterion)
{
try
{
return new WolfeEvolutionVerifier (
org.drip.function.rdtor1descent.ArmijoEvolutionVerifier.NOCEDAL_WRIGHT_ARMIJO_PARAMETER,
maximizerCheck,
org.drip.function.rdtor1descent.CurvatureEvolutionVerifier.NOCEDAL_WRIGHT_CURVATURE_PARAMETER,
strongCurvatureCriterion
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
/**
* WolfeEvolutionVerifier Constructor
*
* @param armijoParameter The Armijo Criterion Parameter
* @param maximizerCheck TRUE - Perform a Check for the Function Maxima
* @param curvatureParameter The Curvature Parameter
* @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
*
* @throws java.lang.Exception Thrown if the Inputs are Invalid
*/
public WolfeEvolutionVerifier (
final double armijoParameter,
final boolean maximizerCheck,
final double curvatureParameter,
final boolean strongCurvatureCriterion)
throws java.lang.Exception
{
if (!org.drip.numerical.common.NumberUtil.IsValid (_armijoParameter = armijoParameter) ||
!org.drip.numerical.common.NumberUtil.IsValid (_curvatureParameter = curvatureParameter))
{
throw new java.lang.Exception ("WolfeEvolutionVerifier Constructor => Invalid Inputs");
}
_maximizerCheck = maximizerCheck;
_strongCurvatureCriterion = strongCurvatureCriterion;
}
/**
* Retrieve the Armijo Parameter
*
* @return The Armijo Parameter
*/
public double armijoParameter()
{
return _armijoParameter;
}
/**
* Indicate if the Check is for Minimizer/Maximizer
*
* @return TRUE - The Check is for Maximizer
*/
public boolean maximizerCheck()
{
return _maximizerCheck;
}
/**
* Retrieve the Curvature Parameter
*
* @return The Curvature Parameter
*/
public double curvatureParameter()
{
return _curvatureParameter;
}
/**
* Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
*
* @return TRUE - The "Strong" Curvature Criterion needs to be met
*/
public boolean strongCurvatureCriterion()
{
return _strongCurvatureCriterion;
}
@Override public org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics metrics (
final org.drip.function.definition.UnitVector targetDirectionUnitVector,
final double[] currentVariateArray,
final org.drip.function.definition.RdToR1 multivariateFunction,
final double stepLength)
{
double[] nextVariateArray = NextVariateArray (
targetDirectionUnitVector,
currentVariateArray,
stepLength
);
try
{
return null == multivariateFunction ? null :
new org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics (
_armijoParameter,
_maximizerCheck,
_curvatureParameter,
_strongCurvatureCriterion,
targetDirectionUnitVector,
currentVariateArray,
stepLength,
multivariateFunction.evaluate (
currentVariateArray
),
multivariateFunction.evaluate (
nextVariateArray
),
multivariateFunction.jacobian (
currentVariateArray
),
multivariateFunction.jacobian (
nextVariateArray
)
);
}
catch (java.lang.Exception e)
{
e.printStackTrace();
}
return null;
}
}