ILPObjective.java

  1. package org.drip.linearprogram.canonical;

  3. /*
  4.  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  5.  */

  7. /*!
  8.  * Copyright (C) 2020 Lakshmi Krishnamurthy
  9.  * 
  10.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  11.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  12.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  13.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  14.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  15.  *      and computational support.
  16.  *  
  17.  *      https://lakshmidrip.github.io/DROP/
  18.  *  
  19.  *  DROP is composed of three modules:
  20.  *  
  21.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  22.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  23.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  24.  * 
  25.  *  DROP Product Core implements libraries for the following:
  26.  *  - Fixed Income Analytics
  27.  *  - Loan Analytics
  28.  *  - Transaction Cost Analytics
  29.  * 
  30.  *  DROP Portfolio Core implements libraries for the following:
  31.  *  - Asset Allocation Analytics
  32.  *  - Asset Liability Management Analytics
  33.  *  - Capital Estimation Analytics
  34.  *  - Exposure Analytics
  35.  *  - Margin Analytics
  36.  *  - XVA Analytics
  37.  * 
  38.  *  DROP Computational Core implements libraries for the following:
  39.  *  - Algorithm Support
  40.  *  - Computation Support
  41.  *  - Function Analysis
  42.  *  - Model Validation
  43.  *  - Numerical Analysis
  44.  *  - Numerical Optimizer
  45.  *  - Spline Builder
  46.  *  - Statistical Learning
  47.  * 
  48.  *  Documentation for DROP is Spread Over:
  49.  * 
  50.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  51.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  52.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  53.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  54.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  55.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  56.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  57.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  58.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  59.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  60.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  61.  * 
  62.  *  Licensed under the Apache License, Version 2.0 (the "License");
  63.  *      you may not use this file except in compliance with the License.
  64.  *   
  65.  *  You may obtain a copy of the License at
  66.  *      http://www.apache.org/licenses/LICENSE-2.0
  67.  *  
  68.  *  Unless required by applicable law or agreed to in writing, software
  69.  *      distributed under the License is distributed on an "AS IS" BASIS,
  70.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  71.  *  
  72.  *  See the License for the specific language governing permissions and
  73.  *      limitations under the License.
  74.  */

  76. /**
  77.  * <i>ILPObjective</i> holds the Coefficients of the Objective Term of an Integer Linear Program
  78.  *  c<sup>T</sup>x where c is R<sup>n</sup> and x is Z<sub>+</sub><sup>n</sup>. The References are:
  79.  * 
  80.  * <br><br>
  81.  *  <ul>
  82.  *      <li>
  83.  *          Burdet, C. A., and E. L. Johnson (1977): A Sub-additive Approach to Solve Linear Integer Programs
  84.  *              <i>Annals of Discrete Mathematics</i> <b>1</b> 117-143
  85.  *      </li>
  86.  *      <li>
  87.  *          Chvatal, V. (1973): Edmonds Polytopes in a Hierarchy of Combinatorial Problems <i>Discrete
  88.  *              Mathematics</i> <b>4 (4)</b> 305-337
  89.  *      </li>
  90.  *      <li>
  91.  *          Gomory, R. E. (1958): Outline of an Algorithm for Integer Solutions to Linear Programs
  92.  *              <i>Bulletin of the American Mathematical Society</i> <b>64 (5)</b> 275-278
  93.  *      </li>
  94.  *      <li>
  95.  *          Kelley, J. E. (1960): The Cutting Plane Method for Solving Convex Problems <i>Journal for the
  96.  *              Society of the Industrial and Applied Mathematics</i> <b>8 (4)</b> 703-712
  97.  *      </li>
  98.  *      <li>
  99.  *          Letchford, A. N. and A. Lodi (2002): Strengthening Chvatal-Gomory Cuts and Gomory Fractional Cuts
  100.  *              <i>Operations Research Letters</i> <b>30 (2)</b> 74-82
  101.  *      </li>
  102.  *  </ul>
  103.  *
  104.  *  <br><br>
  105.  *  <ul>
  106.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
  107.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
  108.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/linearprogram/README.md">Linear Programming Solution Suite</a></li>
  109.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/linearprogram/canonical/README.md">Linear Programming Framework Canonical Elements</a></li>
  110.  *  </ul>
  111.  *
  112.  * @author Lakshmi Krishnamurthy
  113.  */

  115. public class ILPObjective
  116. {
  117.     private double[] _c = null;

  119.     /**
  120.      * ILPObjective Constructor
  121.      * 
  122.      * @param c The Objective Coefficient Array
  123.      * 
  124.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  125.      */

  127.     public ILPObjective (
  128.         final double[] c)
  129.         throws java.lang.Exception
  130.     {
  131.         if (null == (_c = c))
  132.         {
  133.             throw new java.lang.Exception (
  134.                 "ILPObjective Constructor => Invalid Inputs"
  135.             );
  136.         }

  138.         int dimension = _c.length;

  140.         if (0 == dimension)
  141.         {
  142.             throw new java.lang.Exception (
  143.                 "ILPObjective Constructor => Invalid Inputs"
  144.             );
  145.         }

  147.         for (int dimensionIndex = 0;
  148.             dimensionIndex < dimension;
  149.             ++dimensionIndex)
  150.         {
  151.             if (!org.drip.numerical.common.NumberUtil.IsValid (
  152.                 _c[dimensionIndex]
  153.             ))
  154.             {
  155.                 throw new java.lang.Exception (
  156.                     "ILPObjective Constructor => Invalid Inputs"
  157.                 );
  158.             }
  159.         }
  160.     }

  162.     /**
  163.      * Retrieve "c"
  164.      * 
  165.      * @return c
  166.      */

  168.     public double[] c()
  169.     {
  170.         return _c;
  171.     }

  173.     /**
  174.      * Retrieve the Variate Dimension
  175.      * 
  176.      * @return Variate Dimension
  177.      */

  179.     public int dimension()
  180.     {
  181.         return _c.length;
  182.     }

  184.     /**
  185.      * Validate the Variate Input
  186.      * 
  187.      * @param variateArray The Input Variate Array
  188.      * 
  189.      * @return TRUE - The Input Variate successfully Validated
  190.      */

  192.     public boolean validate (
  193.         final int[] variateArray)
  194.     {
  195.         if (null == variateArray)
  196.         {
  197.             return false;
  198.         }

  200.         int dimension = _c.length;

  202.         if (dimension != variateArray.length)
  203.         {
  204.             return false;
  205.         }

  207.         for (int dimensionIndex = 0;
  208.             dimensionIndex < dimension;
  209.             ++dimensionIndex)
  210.         {
  211.             if (0 >= variateArray[dimensionIndex])
  212.             {
  213.                 return false;
  214.             }
  215.         }

  217.         return true;
  218.     }

  220.     /**
  221.      * Evaluate the Objective Function at the specified Variate Array
  222.      * 
  223.      * @param variateArray The Input Variate Array
  224.      * 
  225.      * @return The Objective Function at the specified Variate Array
  226.      * 
  227.      * @throws java.lang.Exception Thrown if the Evaluation cannot be done
  228.      */

  230.     public double evaluate (
  231.         final int[] variateArray)
  232.         throws java.lang.Exception
  233.     {
  234.         if (!validate (
  235.             variateArray
  236.         ))
  237.         {
  238.             throw new java.lang.Exception (
  239.                 "ILPObjective::evaluate => Variate Array not Valid"
  240.             );
  241.         }

  243.         double value = 0.;
  244.         int dimension = _c.length;

  246.         for (int dimensionIndex = 0;
  247.             dimensionIndex < dimension;
  248.             ++dimensionIndex)
  249.         {
  250.             value += _c[dimensionIndex] * variateArray[dimensionIndex];
  251.         }

  253.         return value;
  254.     }
  255. }
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