SubMatrixSetExtractor.java

  1. package org.drip.spaces.big;

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

  81. /**
  82.  * <i>SubMatrixSetExtractor</i> contains the Functionality to extract the Set of the Sub-matrices contained
  83.  * inside of the given Matrix.
  84.  * 
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  88.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/StatisticalLearningLibrary.md">Statistical Learning Library</a></li>
  89.  *      <li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spaces/README.md">R<sup>1</sup> and R<sup>d</sup> Vector/Tensor Spaces (Validated and/or Normed), and Function Classes</a></li>
  90.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spaces/big/README.md">Big-data In-place Manipulator</a></li>
  91.  *  </ul>
  92.  * <br><br>
  93.  *
  94.  * @author Lakshmi Krishnamurthy
  95.  */

  97. public class SubMatrixSetExtractor {

  99.     /**
  100.      * Compute the Aggregate Composite Value of the Supplied Matrix
  101.      *  
  102.      * @param aadbl The Input Matrix
  103.      * 
  104.      * @return The Aggregate Composite Value
  105.      * 
  106.      * @throws java.lang.Exception Thrown if the Aggregate Composite Value cannot be compouted
  107.      */

  109.     public static final double CompositeValue (
  110.         final double[][] aadbl)
  111.         throws java.lang.Exception
  112.     {
  113.         if (null == aadbl)
  114.             throw new java.lang.Exception ("SubMatrixSetExtractor::CompositeValue => Invalid Inputs");

  116.         int iSize = aadbl.length;
  117.         double dblCompositeValue = 0.;

  119.         if (0 == iSize || 0 == aadbl[0].length)
  120.             throw new java.lang.Exception ("SubMatrixSetExtractor::CompositeValue => Invalid Inputs");

  122.         for (int i = 0; i < iSize; ++i) {
  123.             for (int j = 0; j < iSize; ++j) {
  124.                 if (!org.drip.numerical.common.NumberUtil.IsValid (aadbl[i][j]))
  125.                     throw new java.lang.Exception
  126.                         ("SubMatrixSetExtractor::CompositeValue => Invalid Inputs");

  128.                 dblCompositeValue += aadbl[i][j];
  129.             }
  130.         }

  132.         return dblCompositeValue;
  133.     }

  135.     /**
  136.      * Generate the List of all the sub-matrices contained within a specified Square Matrix starting from the
  137.      *  given Row and Column
  138.      * 
  139.      * @param aadblMaster The Master Square Matrix
  140.      * @param iStartRow The Starting Row
  141.      * @param iStartColumn The Starting Column
  142.      * 
  143.      * @return The List of all the sub-matrices
  144.      */

  146.     public static final java.util.List<double[][]> SquareSubMatrixList (
  147.         final double[][] aadblMaster,
  148.         final int iStartRow,
  149.         final int iStartColumn)
  150.     {
  151.         if (null == aadblMaster) return null;

  153.         int iMasterSize = aadblMaster.length;
  154.         int iMaxSubMatrixSize = iMasterSize - (iStartColumn > iStartRow ? iStartColumn : iStartRow);

  156.         if (0 == iMasterSize || 0 == aadblMaster[0].length || 0 == iMaxSubMatrixSize) return null;

  158.         java.util.List<double[][]> lsSubMatrix = new java.util.ArrayList<double[][]>();

  160.         for (int iSubMatrixSize = 1; iSubMatrixSize <= iMaxSubMatrixSize; ++iSubMatrixSize) {
  161.             double[][] aadblSubMatrix = new double[iSubMatrixSize][iSubMatrixSize];

  163.             for (int i = iStartRow; i < iStartRow + iSubMatrixSize; ++i) {
  164.                 for (int j = iStartColumn; j < iStartColumn + iSubMatrixSize; ++j)
  165.                     aadblSubMatrix[i - iStartRow][j - iStartColumn] = aadblMaster[i][j];
  166.             }

  168.             lsSubMatrix.add (aadblSubMatrix);
  169.         }

  171.         return lsSubMatrix;
  172.     }

  174.     /**
  175.      * Compute the Maximum Composite Value of all the sub-matrices contained within a specified Square Matrix
  176.      *  starting from the given Row and Column
  177.      * 
  178.      * @param aadblMaster The Master Square Matrix
  179.      * @param iStartRow The Starting Row
  180.      * @param iStartColumn The Starting Column
  181.      * 
  182.      * @return The List of all the sub-matrices
  183.      * 
  184.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  185.      */

  187.     public static final double MaxCompositeSubMatrix (
  188.         final double[][] aadblMaster,
  189.         final int iStartRow,
  190.         final int iStartColumn)
  191.         throws java.lang.Exception
  192.     {
  193.         java.util.List<double[][]> lsSubMatrix = SquareSubMatrixList (aadblMaster, iStartRow, iStartColumn);

  195.         if (null == lsSubMatrix || 0 == lsSubMatrix.size())
  196.             throw new java.lang.Exception ("SubMatrixSetExtractor::MaxCompositeSubMatrix => Invalid Inputs");

  198.         double dblMaxCompositeSubMatrix = java.lang.Double.NEGATIVE_INFINITY;

  200.         for (double[][] aadblSubMatrix : lsSubMatrix) {
  201.             double dblCompositeSubMatrix = CompositeValue (aadblSubMatrix);

  203.             if (dblMaxCompositeSubMatrix < dblCompositeSubMatrix)
  204.                 dblMaxCompositeSubMatrix = dblCompositeSubMatrix;
  205.         }

  207.         return dblMaxCompositeSubMatrix;
  208.     }

  210.     /**
  211.      * Use the "Lean" Method to compute the Maximum Composite Value of all the sub-matrices contained within
  212.      *  a specified Square Matrix starting from the given Row and Column
  213.      * 
  214.      * @param aadblMaster The Master Square Matrix
  215.      * @param iStartRow The Starting Row
  216.      * @param iStartColumn The Starting Column
  217.      * 
  218.      * @return The List of all the sub-matrices
  219.      * 
  220.      * @throws java.lang.Exception Thrown if the Inputs are Invalid
  221.      */

  223.     public static final double LeanMaxCompositeSubMatrix (
  224.         final double[][] aadblMaster,
  225.         final int iStartRow,
  226.         final int iStartColumn)
  227.         throws java.lang.Exception
  228.     {
  229.         if (null == aadblMaster)
  230.             throw new java.lang.Exception
  231.                 ("SubMatrixSetExtractor::LeanMaxCompositeSubMatrix => Invalid Inputs");

  233.         double dblCompositeSubMatrix = 0.;
  234.         int iMasterSize = aadblMaster.length;
  235.         double dblMaxCompositeSubMatrix = java.lang.Double.NEGATIVE_INFINITY;
  236.         int iMaxSubMatrixSize = iMasterSize - (iStartColumn > iStartRow ? iStartColumn : iStartRow);

  238.         if (0 == iMasterSize || 0 == aadblMaster[0].length || 0 == iMaxSubMatrixSize)
  239.             throw new java.lang.Exception
  240.                 ("SubMatrixSetExtractor::LeanMaxCompositeSubMatrix => Invalid Inputs");

  242.         for (int iSubMatrixSize = 1; iSubMatrixSize <= iMaxSubMatrixSize; ++iSubMatrixSize) {
  243.             for (int iRow = iStartRow; iRow < iStartRow + iSubMatrixSize - 2; ++iRow)
  244.                 dblCompositeSubMatrix += aadblMaster[iRow][iStartColumn + iSubMatrixSize - 2];

  246.             for (int iColumn = iStartColumn; iColumn < iStartColumn + iSubMatrixSize - 2; ++iColumn)
  247.                 dblCompositeSubMatrix += aadblMaster[iStartRow + iSubMatrixSize - 2][iColumn];

  249.             dblCompositeSubMatrix +=
  250.                 aadblMaster[iStartRow + iSubMatrixSize - 1][iStartColumn + iSubMatrixSize - 1];

  252.             if (dblMaxCompositeSubMatrix < dblCompositeSubMatrix)
  253.                 dblMaxCompositeSubMatrix = dblCompositeSubMatrix;
  254.         }

  256.         return dblMaxCompositeSubMatrix;
  257.     }
  258. }
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