WolfeEvolutionVerifier.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>WolfeEvolutionVerifier</i> implements the Wolfe Criterion used for the Inexact Line Search Increment
  82.  * Generation. The References are:
  83.  * 
  84.  * <br><br>
  85.  *  <ul>
  86.  *      <li>
  87.  *          Armijo, L. (1966): Minimization of Functions having Lipschitz-Continuous First Partial
  88.  *              Derivatives <i>Pacific Journal of Mathematics</i> <b>16 (1)</b> 1-3
  89.  *      </li>
  90.  *      <li>
  91.  *          Nocedal, J., and S. Wright (1999): <i>Numerical Optimization</i> <b>Wiley</b>
  92.  *      </li>
  93.  *      <li>
  94.  *          Wolfe, P. (1969): Convergence Conditions for Ascent Methods <i>SIAM Review</i> <b>11 (2)</b>
  95.  *              226-235
  96.  *      </li>
  97.  *      <li>
  98.  *          Wolfe, P. (1971): Convergence Conditions for Ascent Methods; II: Some Corrections <i>SIAM
  99.  *              Review</i> <b>13 (2)</b> 185-188
  100.  *      </li>
  101.  *  </ul>
  102.  *
  103.  *  <br><br>
  104.  *  <ul>
  105.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  106.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalAnalysisLibrary.md">Numerical Analysis Library</a></li>
  107.  *      <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>
  108.  *      <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>
  109.  *  </ul>
  110.  *
  111.  * @author Lakshmi Krishnamurthy
  112.  */

  114. public class WolfeEvolutionVerifier
  115.     extends org.drip.function.rdtor1descent.LineEvolutionVerifier
  116. {
  117.     private boolean _maximizerCheck = false;
  118.     private boolean _strongCurvatureCriterion = false;
  119.     private double _armijoParameter = java.lang.Double.NaN;
  120.     private double _curvatureParameter = java.lang.Double.NaN;

  122.     /**
  123.      * Construct the Nocedal-Wright Wolfe Evolution Verifier
  124.      * 
  125.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  126.      * @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
  127.      * 
  128.      * @return The Nocedal-Wright Wolfe Evolution Verifier Instance
  129.      */

  131.     public static final WolfeEvolutionVerifier NocedalWrightStandard (
  132.         final boolean maximizerCheck,
  133.         final boolean strongCurvatureCriterion)
  134.     {
  135.         try
  136.         {
  137.             return new WolfeEvolutionVerifier (
  138.                 org.drip.function.rdtor1descent.ArmijoEvolutionVerifier.NOCEDAL_WRIGHT_ARMIJO_PARAMETER,
  139.                 maximizerCheck,
  140.                 org.drip.function.rdtor1descent.CurvatureEvolutionVerifier.NOCEDAL_WRIGHT_CURVATURE_PARAMETER,
  141.                 strongCurvatureCriterion
  142.             );
  143.         }
  144.         catch (java.lang.Exception e)
  145.         {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     /**
  153.      * WolfeEvolutionVerifier Constructor
  154.      * 
  155.      * @param armijoParameter The Armijo Criterion Parameter
  156.      * @param maximizerCheck TRUE - Perform a Check for the Function Maxima
  157.      * @param curvatureParameter The Curvature Parameter
  158.      * @param strongCurvatureCriterion TRUE - Apply the Strong Curvature Criterion
  159.      * 
  160.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  161.      */

  163.     public WolfeEvolutionVerifier (
  164.         final double armijoParameter,
  165.         final boolean maximizerCheck,
  166.         final double curvatureParameter,
  167.         final boolean strongCurvatureCriterion)
  168.         throws java.lang.Exception
  169.     {
  170.         if (!org.drip.numerical.common.NumberUtil.IsValid (_armijoParameter = armijoParameter) ||
  171.             !org.drip.numerical.common.NumberUtil.IsValid (_curvatureParameter = curvatureParameter))
  172.         {
  173.             throw new java.lang.Exception ("WolfeEvolutionVerifier Constructor => Invalid Inputs");
  174.         }

  176.         _maximizerCheck = maximizerCheck;
  177.         _strongCurvatureCriterion = strongCurvatureCriterion;
  178.     }

  180.     /**
  181.      * Retrieve the Armijo Parameter
  182.      * 
  183.      * @return The Armijo Parameter
  184.      */

  186.     public double armijoParameter()
  187.     {
  188.         return _armijoParameter;
  189.     }

  191.     /**
  192.      * Indicate if the Check is for Minimizer/Maximizer
  193.      * 
  194.      * @return TRUE - The Check is for Maximizer
  195.      */

  197.     public boolean maximizerCheck()
  198.     {
  199.         return _maximizerCheck;
  200.     }

  202.     /**
  203.      * Retrieve the Curvature Parameter
  204.      * 
  205.      * @return The Curvature Parameter
  206.      */

  208.     public double curvatureParameter()
  209.     {
  210.         return _curvatureParameter;
  211.     }

  213.     /**
  214.      * Retrieve Whether of not the "Strong" Curvature Criterion needs to be met
  215.      * 
  216.      * @return TRUE - The "Strong" Curvature Criterion needs to be met
  217.      */

  219.     public boolean strongCurvatureCriterion()
  220.     {
  221.         return _strongCurvatureCriterion;
  222.     }

  224.     @Override public org.drip.function.rdtor1descent.LineEvolutionVerifierMetrics metrics (
  225.         final org.drip.function.definition.UnitVector targetDirectionUnitVector,
  226.         final double[] currentVariateArray,
  227.         final org.drip.function.definition.RdToR1 multivariateFunction,
  228.         final double stepLength)
  229.     {
  230.         double[] nextVariateArray = NextVariateArray (
  231.             targetDirectionUnitVector,
  232.             currentVariateArray,
  233.             stepLength
  234.         );

  236.         try
  237.         {
  238.             return null == multivariateFunction ? null :
  239.                 new org.drip.function.rdtor1descent.WolfeEvolutionVerifierMetrics (
  240.                     _armijoParameter,
  241.                     _maximizerCheck,
  242.                     _curvatureParameter,
  243.                     _strongCurvatureCriterion,
  244.                     targetDirectionUnitVector,
  245.                     currentVariateArray,
  246.                     stepLength,
  247.                     multivariateFunction.evaluate (
  248.                         currentVariateArray
  249.                     ),
  250.                     multivariateFunction.evaluate (
  251.                         nextVariateArray
  252.                     ),
  253.                     multivariateFunction.jacobian (
  254.                         currentVariateArray
  255.                     ),
  256.                     multivariateFunction.jacobian (
  257.                         nextVariateArray
  258.                     )
  259.                 );
  260.         }
  261.         catch (java.lang.Exception e)
  262.         {
  263.             e.printStackTrace();
  264.         }

  266.         return null;
  267.     }
  268. }
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