NormedR1ToL1R1Finite.java

  1. package org.drip.spaces.functionclass;

  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>NormedR1ToL1R1Finite</i> implements the Class f E F : Normed R<sup>1</sup> To L<sub>1</sub>
  83.  * R<sup>1</sup> Spaces of Finite Functions. The Reference we've used is:
  84.  *
  85.  * <br><br>
  86.  *  <ul>
  87.  *      <li>
  88.  *          Carl, B., and I. Stephani (1990): <i>Entropy, Compactness, and the Approximation of Operators</i>
  89.  *              <b>Cambridge University Press</b> Cambridge UK 
  90.  *      </li>
  91.  *  </ul>
  92.  *
  93.  * <br><br>
  94.  *  <ul>
  95.  *      <li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ComputationalCore.md">Computational Core Module</a></li>
  96.  *      <li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/StatisticalLearningLibrary.md">Statistical Learning Library</a></li>
  97.  *      <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>
  98.  *      <li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/spaces/functionclass/README.md">Normed Finite Spaces Function Class</a></li>
  99.  *  </ul>
  100.  * <br><br>
  101.  *
  102.  * @author Lakshmi Krishnamurthy
  103.  */

  105. public class NormedR1ToL1R1Finite extends org.drip.spaces.functionclass.NormedR1ToNormedR1Finite {

  107.     /**
  108.      * Create Bounded R^1 To Bounded L1 R^1 Function Class for the specified Bounded Class of Finite
  109.      *  Functions
  110.      * 
  111.      * @param dblMaureyConstant Maurey Constant
  112.      * @param aR1ToR1 The Bounded R^1 To Bounded R^1 Function Set
  113.      * @param dblPredictorSupport The Set Predictor Support
  114.      * @param dblResponseBound The Set Response Bound
  115.      * 
  116.      * @return The Bounded R^1 To Bounded R^1 Function Class for the specified Function Set
  117.      */

  119.     public static final NormedR1ToL1R1Finite BoundedPredictorBoundedResponse (
  120.         final double dblMaureyConstant,
  121.         final org.drip.function.definition.R1ToR1[] aR1ToR1,
  122.         final double dblPredictorSupport,
  123.         final double dblResponseBound)
  124.     {
  125.         if (null == aR1ToR1) return null;

  127.         int iNumFunction = aR1ToR1.length;
  128.         org.drip.spaces.rxtor1.NormedR1ToNormedR1[] aR1ToR1FunctionSpace = new
  129.             org.drip.spaces.rxtor1.NormedR1ToNormedR1[iNumFunction];

  131.         if (0 == iNumFunction) return null;

  133.         try {
  134.             org.drip.spaces.metric.R1Continuous r1ContinuousInput = new org.drip.spaces.metric.R1Continuous
  135.                 (-0.5 * dblPredictorSupport, 0.5 * dblPredictorSupport, null, 1);

  137.             org.drip.spaces.metric.R1Continuous r1ContinuousOutput = new org.drip.spaces.metric.R1Continuous
  138.                 (-0.5 * dblResponseBound, 0.5 * dblResponseBound, null, 1);

  140.             for (int i = 0; i < iNumFunction; ++i)
  141.                 aR1ToR1FunctionSpace[i] = new org.drip.spaces.rxtor1.NormedR1ContinuousToR1Continuous
  142.                     (r1ContinuousInput, r1ContinuousOutput, aR1ToR1[i]);

  144.             return new NormedR1ToL1R1Finite (dblMaureyConstant, aR1ToR1FunctionSpace);
  145.         } catch (java.lang.Exception e) {
  146.             e.printStackTrace();
  147.         }

  149.         return null;
  150.     }

  152.     protected NormedR1ToL1R1Finite (
  153.         final double dblMaureyConstant,
  154.         final org.drip.spaces.rxtor1.NormedR1ToNormedR1[] aR1ToR1FunctionSpace)
  155.         throws java.lang.Exception
  156.     {
  157.         super (dblMaureyConstant, aR1ToR1FunctionSpace);
  158.     }

  160.     @Override public org.drip.spaces.cover.FunctionClassCoveringBounds agnosticCoveringNumberBounds()
  161.     {
  162.         org.drip.spaces.rxtor1.NormedR1ToNormedR1[] aNormedR1ToNormedR1 =
  163.             (org.drip.spaces.rxtor1.NormedR1ToNormedR1[]) functionSpaces();

  165.         int iNumFunction = aNormedR1ToNormedR1.length;
  166.         double dblResponseLowerBound = java.lang.Double.NaN;
  167.         double dblResponseUpperBound = java.lang.Double.NaN;
  168.         double dblPredictorLowerBound = java.lang.Double.NaN;
  169.         double dblPredictorUpperBound = java.lang.Double.NaN;

  171.         for (int i = 0; i < iNumFunction; ++i) {
  172.             org.drip.spaces.rxtor1.NormedR1ToNormedR1 r1Tor1 = aNormedR1ToNormedR1[i];

  174.             org.drip.spaces.metric.R1Normed runsInput = r1Tor1.inputMetricVectorSpace();

  176.             org.drip.spaces.metric.R1Normed runsOutput = r1Tor1.outputMetricVectorSpace();

  178.             if (!runsInput.isPredictorBounded() || !runsOutput.isPredictorBounded()) return null;

  180.             double dblResponseLeftBound = runsOutput.leftEdge();

  182.             double dblPredictorLeftBound = runsInput.leftEdge();

  184.             double dblResponseRightBound = runsOutput.rightEdge();

  186.             double dblPredictorRightBound = runsInput.rightEdge();

  188.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorLowerBound))
  189.                 dblPredictorLowerBound = dblPredictorLeftBound;
  190.             else {
  191.                 if (dblPredictorLowerBound > dblPredictorLeftBound)
  192.                     dblPredictorLowerBound = dblPredictorLeftBound;
  193.             }

  195.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblPredictorUpperBound))
  196.                 dblPredictorUpperBound = dblPredictorRightBound;
  197.             else {
  198.                 if (dblPredictorUpperBound < dblPredictorRightBound)
  199.                     dblPredictorUpperBound = dblPredictorRightBound;
  200.             }

  202.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblResponseLowerBound))
  203.                 dblResponseLowerBound = dblResponseLeftBound;
  204.             else {
  205.                 if (dblResponseLowerBound > dblResponseLeftBound)
  206.                     dblResponseLowerBound = dblResponseLeftBound;
  207.             }

  209.             if (!org.drip.numerical.common.NumberUtil.IsValid (dblResponseUpperBound))
  210.                 dblResponseUpperBound = dblResponseRightBound;
  211.             else {
  212.                 if (dblResponseUpperBound < dblResponseRightBound)
  213.                     dblResponseUpperBound = dblResponseRightBound;
  214.             }
  215.         }

  217.         double dblVariation = dblResponseUpperBound - dblResponseLowerBound;

  219.         try {
  220.             return new org.drip.spaces.cover.L1R1CoveringBounds (dblPredictorUpperBound -
  221.                 dblPredictorLowerBound, dblVariation, dblVariation);
  222.         } catch (java.lang.Exception e) {
  223.             e.printStackTrace();
  224.         }

  226.         return null;
  227.     }
  228. }
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