BarrierFixedPointFinder.java

  1. package org.drip.function.rdtor1solver;

  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>BarrierFixedPointFinder</i> invokes the Iterative Finders for locating the Fixed Point of
  82.  * R<sup>d</sup> To R<sup>1</sup> Convex/Non-Convex Functions Under Inequality Constraints using Barrier
  83.  * Sequences of decaying Strengths.
  84.  *
  85.  *  <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalCore.md">Numerical Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/NumericalOptimizerLibrary.md">Numerical Optimizer</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/README.md">Function</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/feed/rdtor1solver/README.md">R<sup>d</sup> To R<sup>1</sup> Solver</a></li>
  91.  *  </ul>
  92.  *
  93.  * @author Lakshmi Krishnamurthy
  94.  */

  96. public class BarrierFixedPointFinder
  97. {
  98.     private org.drip.function.definition.RdToR1 _objectiveFunction = null;
  99.     private org.drip.function.rdtor1descent.LineStepEvolutionControl _lineStepEvolutionControl = null;
  100.     private org.drip.function.definition.RdToR1[] _inequalityConstraintMultivariateFunctionArray = null;
  101.     private org.drip.function.rdtor1solver.InteriorPointBarrierControl _interiorPointBarrierControl = null;

  103.     /**
  104.      * BarrierFixedPointFinder Constructor
  105.      * 
  106.      * @param objectiveFunction The Objective Function
  107.      * @param inequalityConstraintMultivariateFunctionArray Array of Multivariate Inequality Constraint
  108.      *      Functions
  109.      * @param interiorPointBarrierControl Interior Point Barrier Strength Control Parameters
  110.      * @param lineStepEvolutionControl Line Step Evolution Verifier Control Parameters
  111.      * 
  112.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  113.      */

  115.     public BarrierFixedPointFinder (
  116.         final org.drip.function.definition.RdToR1 objectiveFunction,
  117.         final org.drip.function.definition.RdToR1[] inequalityConstraintMultivariateFunctionArray,
  118.         final org.drip.function.rdtor1solver.InteriorPointBarrierControl interiorPointBarrierControl,
  119.         final org.drip.function.rdtor1descent.LineStepEvolutionControl lineStepEvolutionControl)
  120.         throws java.lang.Exception
  121.     {
  122.         if (null == (_objectiveFunction = objectiveFunction) ||
  123.             null == (_inequalityConstraintMultivariateFunctionArray = inequalityConstraintMultivariateFunctionArray) ||
  124.             null == (_interiorPointBarrierControl = interiorPointBarrierControl))
  125.         {
  126.             throw new java.lang.Exception ("BarrierFixedPointFinder Constructor => Invalid Inputs");
  127.         }

  129.         _lineStepEvolutionControl = lineStepEvolutionControl;
  130.         int constraintCount = _inequalityConstraintMultivariateFunctionArray.length;

  132.         if (0 == constraintCount)
  133.         {
  134.             throw new java.lang.Exception ("BarrierFixedPointFinder Constructor => Invalid Inputs");
  135.         }

  137.         for (int constraintIndex = 0;
  138.             constraintIndex < constraintCount;
  139.             ++constraintIndex)
  140.         {
  141.             if (null == _inequalityConstraintMultivariateFunctionArray[constraintIndex])
  142.             {
  143.                 throw new java.lang.Exception ("BarrierFixedPointFinder Constructor => Invalid Inputs");
  144.             }
  145.         }
  146.     }

  148.     /**
  149.      * Retrieve the Objective Function
  150.      * 
  151.      * @return The Objective Function
  152.      */

  154.     public org.drip.function.definition.RdToR1 objectiveFunction()
  155.     {
  156.         return _objectiveFunction;
  157.     }

  159.     /**
  160.      * Retrieve the Array of Inequality Constraints
  161.      * 
  162.      * @return The Array of Inequality Constraints
  163.      */

  165.     public org.drip.function.definition.RdToR1[] inequalityConstraintMultivariateFunctionArray()
  166.     {
  167.         return _inequalityConstraintMultivariateFunctionArray;
  168.     }

  170.     /**
  171.      * Retrieve the Line Step Evolution Interior Control Parameters
  172.      * 
  173.      * @return The Line Step Evolution Strength Control Parameters
  174.      */

  176.     public org.drip.function.rdtor1descent.LineStepEvolutionControl lineStepEvolutionControl()
  177.     {
  178.         return _lineStepEvolutionControl;
  179.     }

  181.     /**
  182.      * Retrieve the Interior Point Barrier Control Parameters
  183.      * 
  184.      * @return The Interior Point Barrier Control Parameters
  185.      */

  187.     public org.drip.function.rdtor1solver.InteriorPointBarrierControl interiorPointBarrierControl()
  188.     {
  189.         return _interiorPointBarrierControl;
  190.     }

  192.     /**
  193.      * Solve for the Optimal Variate-Inequality Constraint Multiplier Tuple using the Barrier Iteration
  194.      *  Parameters provided by the IPBC Instance
  195.      *  
  196.      * @param startingVariateArray The Starting Variate Sequence
  197.      * 
  198.      * @return The Optimal Variate-Inequality Constraint Multiplier Tuple
  199.      */

  201.     public org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier solve (
  202.         final double[] startingVariateArray)
  203.     {
  204.         double barrierStrength = _interiorPointBarrierControl.initialStrength();

  206.         int outstandingDecaySteps = _interiorPointBarrierControl.decayStepCount();

  208.         double barrierDecayVelocity = _interiorPointBarrierControl.decayVelocity();

  210.         org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier variateConstraint = null;
  211.         int constraintCount = _inequalityConstraintMultivariateFunctionArray.length;
  212.         double[] startingConstraintMultiplierArray = new double[constraintCount];

  214.         try
  215.         {
  216.             for (int constraintIndex = 0;
  217.                 constraintIndex < constraintCount;
  218.                 ++constraintIndex)
  219.             {
  220.                 startingConstraintMultiplierArray[constraintIndex] = barrierStrength /
  221.                     _inequalityConstraintMultivariateFunctionArray[constraintIndex].evaluate (
  222.                         startingVariateArray
  223.                     );
  224.             }

  226.             variateConstraint = new org.drip.function.rdtor1solver.VariateInequalityConstraintMultiplier (
  227.                 false,
  228.                 startingVariateArray,
  229.                 startingConstraintMultiplierArray
  230.             );
  231.         }
  232.         catch (java.lang.Exception e)
  233.         {
  234.             e.printStackTrace();

  236.             return null;
  237.         }

  239.         while (--outstandingDecaySteps >= 0)
  240.         {
  241.             try
  242.             {
  243.                 org.drip.function.rdtor1solver.InteriorFixedPointFinder interiorFixedPointFinder =
  244.                     new org.drip.function.rdtor1solver.InteriorFixedPointFinder (
  245.                         _objectiveFunction,
  246.                         _inequalityConstraintMultivariateFunctionArray,
  247.                         _lineStepEvolutionControl,
  248.                         _interiorPointBarrierControl,
  249.                         barrierStrength
  250.                     );

  252.                 if (null == (
  253.                     variateConstraint = interiorFixedPointFinder.find (
  254.                         variateConstraint
  255.                     ))
  256.                 )
  257.                 {
  258.                     return null;
  259.                 }
  260.             }
  261.             catch (java.lang.Exception e)
  262.             {
  263.                 e.printStackTrace();

  265.                 return null;
  266.             }

  268.             barrierStrength *= barrierDecayVelocity;
  269.         }

  271.         return variateConstraint;
  272.     }
  273. }
Created with JaCoCo 0.7.9.201702052155