BracketingRegressorSet.java

  1. package org.drip.regression.fixedpointfinder;

  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.  * Copyright (C) 2015 Lakshmi Krishnamurthy
  14.  * Copyright (C) 2014 Lakshmi Krishnamurthy
  15.  * Copyright (C) 2013 Lakshmi Krishnamurthy
  16.  * Copyright (C) 2012 Lakshmi Krishnamurthy
  17.  * 
  18.  *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
  19.  *      asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
  20.  *      analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
  21.  *      equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
  22.  *      numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
  23.  *      and computational support.
  24.  *  
  25.  *      https://lakshmidrip.github.io/DROP/
  26.  *  
  27.  *  DROP is composed of three modules:
  28.  *  
  29.  *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
  30.  *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
  31.  *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
  32.  * 
  33.  *  DROP Product Core implements libraries for the following:
  34.  *  - Fixed Income Analytics
  35.  *  - Loan Analytics
  36.  *  - Transaction Cost Analytics
  37.  * 
  38.  *  DROP Portfolio Core implements libraries for the following:
  39.  *  - Asset Allocation Analytics
  40.  *  - Asset Liability Management Analytics
  41.  *  - Capital Estimation Analytics
  42.  *  - Exposure Analytics
  43.  *  - Margin Analytics
  44.  *  - XVA Analytics
  45.  * 
  46.  *  DROP Computational Core implements libraries for the following:
  47.  *  - Algorithm Support
  48.  *  - Computation Support
  49.  *  - Function Analysis
  50.  *  - Model Validation
  51.  *  - Numerical Analysis
  52.  *  - Numerical Optimizer
  53.  *  - Spline Builder
  54.  *  - Statistical Learning
  55.  * 
  56.  *  Documentation for DROP is Spread Over:
  57.  * 
  58.  *  - Main                     => https://lakshmidrip.github.io/DROP/
  59.  *  - Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
  60.  *  - GitHub                   => https://github.com/lakshmiDRIP/DROP
  61.  *  - Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
  62.  *  - Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
  63.  *  - Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
  64.  *  - Release Versions         => https://lakshmidrip.github.io/DROP/version.html
  65.  *  - Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
  66.  *  - Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
  67.  *  - JUnit                    => https://lakshmidrip.github.io/DROP/junit/index.html
  68.  *  - Jacoco                   => https://lakshmidrip.github.io/DROP/jacoco/index.html
  69.  * 
  70.  *  Licensed under the Apache License, Version 2.0 (the "License");
  71.  *      you may not use this file except in compliance with the License.
  72.  *   
  73.  *  You may obtain a copy of the License at
  74.  *      http://www.apache.org/licenses/LICENSE-2.0
  75.  *  
  76.  *  Unless required by applicable law or agreed to in writing, software
  77.  *      distributed under the License is distributed on an "AS IS" BASIS,
  78.  *      WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
  79.  *  
  80.  *  See the License for the specific language governing permissions and
  81.  *      limitations under the License.
  82.  */

  84. /**
  85.  * <i>BracketingRegressorSet</i> implements regression run for the Primitive Bracketing Fixed Point Search
  86.  * Method. It implements the following 4 primitive bracketing schemes: Bisection, False Position, Quadratic,
  87.  * and Inverse Quadratic.
  88.  * 
  89.  * <br><br>
  90.  *  <ul>
  91.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  92.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationSupportLibrary.md">Computation Support</a></li>
  93.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/README.md">Regression Engine Core and the Unit Regressors</a></li>
  94.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/regression/fixedpointfinder/README.md">Fixed Point Finder Regression Engine</a></li>
  95.  *  </ul>
  96.  * <br><br>
  97.  *
  98.  * @author Lakshmi Krishnamurthy
  99.  */

  101. public class BracketingRegressorSet implements org.drip.regression.core.RegressorSet {
  102.     private org.drip.function.definition.R1ToR1 _of = null;
  103.     private java.lang.String _strRegressionScenario = "org.drip.math.solver1D.FixedPointFinderPrimitive";

  105.     private java.util.List<org.drip.regression.core.UnitRegressor> _setRegressors = new
  106.         java.util.ArrayList<org.drip.regression.core.UnitRegressor>();

  108.     public BracketingRegressorSet()
  109.     {
  110.         _of = new org.drip.function.definition.R1ToR1 (null)
  111.         {
  112.             public double evaluate (
  113.                 final double dblVariate)
  114.                 throws java.lang.Exception
  115.             {
  116.                 if (java.lang.Double.isNaN (dblVariate))
  117.                     throw new java.lang.Exception
  118.                         ("FixedPointFinderRegressorOF.evalTarget => Invalid variate!");

  120.                 /* return java.lang.Math.cos (dblVariate) - dblVariate * dblVariate * dblVariate;

  122.                 return dblVariate * dblVariate * dblVariate - 3. * dblVariate * dblVariate + 2. *
  123.                     dblVariate;

  125.                 return dblVariate * dblVariate * dblVariate + 4. * dblVariate + 4.;

  127.                 return 32. * dblVariate * dblVariate * dblVariate * dblVariate * dblVariate * dblVariate
  128.                     - 48. * dblVariate * dblVariate * dblVariate * dblVariate + 18. * dblVariate *
  129.                         dblVariate - 1.; */

  131.                 return 1. + 3. * dblVariate - 2. * java.lang.Math.sin (dblVariate);
  132.             }

  134.             @Override public double integrate (
  135.                 final double dblBegin,
  136.                 final double dblEnd)
  137.                 throws java.lang.Exception
  138.             {
  139.                 return org.drip.numerical.integration.R1ToR1Integrator.Boole (this, dblBegin, dblEnd);
  140.             }
  141.         };
  142.     }

  144.     @Override public boolean setupRegressors()
  145.     {
  146.         try {
  147.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  148.                 ("BisectionFixedPointFinder", _strRegressionScenario)
  149.             {
  150.                 org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopBisect = null;
  151.                 org.drip.function.r1tor1solver.FixedPointFinderBracketing fpfbBisect = null;

  153.                 @Override public boolean preRegression()
  154.                 {
  155.                     try {
  156.                         fpfbBisect = new org.drip.function.r1tor1solver.FixedPointFinderBracketing (0., _of, null,
  157.                             org.drip.function.r1tor1solver.VariateIteratorPrimitive.BISECTION, true);

  159.                         return true;
  160.                     } catch (java.lang.Exception e) {
  161.                         e.printStackTrace();
  162.                     }

  164.                     return false;
  165.                 }

  167.                 @Override public boolean execRegression()
  168.                 {
  169.                     if (null == (fpfopBisect = fpfbBisect.findRoot())) return false;

  171.                     return true;
  172.                 }

  174.                 @Override public boolean postRegression (
  175.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  176.                 {
  177.                     rnvd.set ("FixedPoint", "" + fpfopBisect.getRoot());

  179.                     return true;
  180.                 }
  181.             });

  183.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  184.                 ("FalsePositionFixedPointFinder", _strRegressionScenario)
  185.             {
  186.                 org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopFalsePosition = null;
  187.                 org.drip.function.r1tor1solver.FixedPointFinderBracketing fpfbFalsePosition = null;

  189.                 @Override public boolean preRegression()
  190.                 {
  191.                     try {
  192.                         fpfbFalsePosition = new org.drip.function.r1tor1solver.FixedPointFinderBracketing (0., _of,
  193.                             null, org.drip.function.r1tor1solver.VariateIteratorPrimitive.FALSE_POSITION, true);

  195.                         return true;
  196.                     } catch (java.lang.Exception e) {
  197.                         e.printStackTrace();
  198.                     }

  200.                     return false;
  201.                 }

  203.                 @Override public boolean execRegression()
  204.                 {
  205.                     if (null == (fpfopFalsePosition = fpfbFalsePosition.findRoot())) return false;

  207.                     return true;
  208.                 }

  210.                 @Override public boolean postRegression (
  211.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  212.                 {
  213.                     rnvd.set ("FixedPoint", "" + fpfopFalsePosition.getRoot());

  215.                     return true;
  216.                 }
  217.             });

  219.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  220.                 ("QuadraticFixedPointFinder", _strRegressionScenario) {
  221.                 org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopQuadratic = null;
  222.                 org.drip.function.r1tor1solver.FixedPointFinderBracketing fpfbQuadratic = null;

  224.                 @Override public boolean preRegression()
  225.                 {
  226.                     try {
  227.                         fpfbQuadratic = new org.drip.function.r1tor1solver.FixedPointFinderBracketing (0., _of,
  228.                             null, org.drip.function.r1tor1solver.VariateIteratorPrimitive.QUADRATIC_INTERPOLATION,
  229.                                 true);

  231.                         return true;
  232.                     } catch (java.lang.Exception e) {
  233.                         e.printStackTrace();
  234.                     }

  236.                     return false;
  237.                 }

  239.                 @Override public boolean execRegression()
  240.                 {
  241.                     if (null == (fpfopQuadratic = fpfbQuadratic.findRoot())) return false;

  243.                     return true;
  244.                 }

  246.                 @Override public boolean postRegression (
  247.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  248.                 {
  249.                     rnvd.set ("FixedPoint", "" + fpfopQuadratic.getRoot());

  251.                     return true;
  252.                 }
  253.             });

  255.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  256.                 ("InverseQuadraticFixedPointFinder", _strRegressionScenario)
  257.             {
  258.                 org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopInverseQuadratic = null;
  259.                 org.drip.function.r1tor1solver.FixedPointFinderBracketing fpfbInverseQuadratic = null;

  261.                 @Override public boolean preRegression()
  262.                 {
  263.                     try {
  264.                         fpfbInverseQuadratic = new org.drip.function.r1tor1solver.FixedPointFinderBracketing (0.,
  265.                             _of, null,
  266.                                 org.drip.function.r1tor1solver.VariateIteratorPrimitive.INVERSE_QUADRATIC_INTERPOLATION,
  267.                             true);

  269.                         return true;
  270.                     } catch (java.lang.Exception e) {
  271.                         e.printStackTrace();
  272.                     }

  274.                     return false;
  275.                 }

  277.                 @Override public boolean execRegression()
  278.                 {
  279.                     if (null == (fpfopInverseQuadratic = fpfbInverseQuadratic.findRoot())) return false;

  281.                     return true;
  282.                 }

  284.                 @Override public boolean postRegression (
  285.                     final org.drip.regression.core.RegressionRunDetail rnvd)
  286.                 {
  287.                     rnvd.set ("FixedPoint", "" + fpfopInverseQuadratic.getRoot());

  289.                     return true;
  290.                 }
  291.             });

  293.             _setRegressors.add (new org.drip.regression.core.UnitRegressionExecutor
  294.                 ("RidderFixedPointFinder", _strRegressionScenario)
  295.             {
  296.                 org.drip.function.r1tor1solver.FixedPointFinderOutput fpfopRidder = null;
  297.                 org.drip.function.r1tor1solver.FixedPointFinderBracketing fpfbRidder = null;

  299.                 @Override public boolean preRegression()
  300.                 {
  301.                     try {
  302.                         fpfbRidder = new org.drip.function.r1tor1solver.FixedPointFinderBracketing (0., _of, null,
  303.                             org.drip.function.r1tor1solver.VariateIteratorPrimitive.RIDDER, true);

  305.                         return true;
  306.                     } catch (java.lang.Exception e) {
  307.                         e.printStackTrace();
  308.                     }

  310.                     return false;
  311.                 }

  313.                 @Override public boolean execRegression()
  314.                 {
  315.                     if (null == (fpfopRidder = fpfbRidder.findRoot())) return false;

  317.                     return true;
  318.                 }

  320.                 @Override public boolean postRegression (
  321.                     final org.drip.regression.core.RegressionRunDetail rnvd) {
  322.                     rnvd.set ("FixedPoint", "" + fpfopRidder.getRoot());

  324.                     return true;
  325.                 }
  326.             });
  327.         } catch (java.lang.Exception e) {
  328.             e.printStackTrace();
  329.         }

  331.         return true;
  332.     }

  334.     @Override public java.util.List<org.drip.regression.core.UnitRegressor> getRegressorSet()
  335.     {
  336.         return _setRegressors;
  337.     }

  339.     @Override public java.lang.String getSetName()
  340.     {
  341.         return _strRegressionScenario;
  342.     }
  343. }
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