ObjectiveFunction.java

package org.drip.portfolioconstruction.optimizer;

/*
 * -*- 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 Krishnamurthy0
 * 
 *  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>ObjectiveFunction</i> holds the Terms composing the Objective Function and their Weights.
 *
 *  <br><br>
 *  <ul>
 *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/PortfolioCore.md">Portfolio Core Module</a></li>
 *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/AssetAllocationAnalyticsLibrary.md">Asset Allocation Analytics</a></li>
 *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/README.md">Portfolio Construction under Allocation Constraints</a></li>
 *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/portfolioconstruction/optimizer/README.md">Core Portfolio Construction Optimizer Suite</a></li>
 *  </ul>
 * <br><br>
 *
 * @author Lakshmi Krishnamurthy
 */

public class ObjectiveFunction
    extends org.drip.function.definition.RdToR1
{
    private int _dimension = -1;

    private java.util.List<org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit> _objectiveTermUnitList
        = new java.util.ArrayList<org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit>();

    /**
     * Empty Objective Function Constructor
     */

    public ObjectiveFunction()
    {
        super (
            null
        );
    }

    /**
     * Add the Objective Term Unit Instance
     * 
     * @param objectiveTermUnit The Objective Term Unit Instance
     * 
     * @return TRUE - The Objective Term Unit Instance successfully added
     */

    public boolean addObjectiveTermUnit (
        final org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit objectiveTermUnit)
    {
        if (null == objectiveTermUnit || _objectiveTermUnitList.contains (
            objectiveTermUnit
        ))
        {
            return false;
        }

        _objectiveTermUnitList.add (
            objectiveTermUnit
        );

        return true;
    }

    /**
     * Retrieve the List of Objective Terms
     * 
     * @return The List of Objective Terms
     */

    public java.util.List<org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit> list()
    {
        return _objectiveTermUnitList;
    }

    @Override public int dimension()
    {
        return _dimension;
    }

    @Override public double evaluate (
        final double[] variateArray)
        throws java.lang.Exception
    {
        double value = 0.;

        for (org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit objectiveTermUnit :
            _objectiveTermUnitList)
        {
            if (objectiveTermUnit.isActive())
            {
                value += objectiveTermUnit.weight() * objectiveTermUnit.objectiveTerm().rdtoR1().evaluate (
                    variateArray
                );
            }
        }

        return value;
    }

    @Override public double derivative (
        final double[] variateArray,
        final int variateIndex,
        final int order)
        throws java.lang.Exception
    {
        double derivative = 0.;

        for (org.drip.portfolioconstruction.optimizer.ObjectiveTermUnit objectiveTermUnit :
            _objectiveTermUnitList)
        {
            if (objectiveTermUnit.isActive())
            {
                derivative += objectiveTermUnit.weight() *
                    objectiveTermUnit.objectiveTerm().rdtoR1().derivative (
                        variateArray,
                        variateIndex,
                        order
                    );
            }
        }

        return derivative;
    }
}