net.finmath.optimizer

Class GoldenSectionSearch

java.lang.Object

net.finmath.optimizer.GoldenSectionSearch

public class GoldenSectionSearch
extends java.lang.Object

This class implements a Golden Section search algorithm, i.e., a minimization, implemented as a question-and-answer search algorithm. Example:

 
 		GoldenSectionSearch search = new GoldenSectionSearch(-1.0, 5.0);		
 		while(search.getAccuracy() > 1E-11 && !search.isDone()) {
 			double x = search.getNextPoint();
 			
 			double y = (x - 0.656) * (x - 0.656);
 			
 			search.setValue(y);
 		}
 
 

For an example on how to use this class see also its main method.

Constructor Summary

Constructors

Constructor and Description
GoldenSectionSearch(double leftPoint, double rightPoint)

Method Summary

Modifier and Type	Method and Description
double	getAccuracy()
double	getBestPoint()
double	getNextPoint() Returns the next point for which a valuation is requested.
int	getNumberOfIterations()
boolean	isDone()
static void	main(java.lang.String[] args)
void	optimize()
void	setValue(double value) Set the value corresponding to the point returned by a previous call of getNextPoint().
double	value(double parameter)

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

GoldenSectionSearch

public GoldenSectionSearch(double leftPoint,
                           double rightPoint)

Parameters:

leftPoint - left point of search interval

rightPoint - right point of search interval

Method Detail

main

public static void main(java.lang.String[] args)

getBestPoint

public double getBestPoint()

Returns:

Returns the best point obtained so far.

getNextPoint

public double getNextPoint()

Returns the next point for which a valuation is requested.

Returns:

Returns the next point for which a value should be set using setValue.

setValue

public void setValue(double value)

Set the value corresponding to the point returned by a previous call of getNextPoint(). If setValue is called without prior call to getNextPoint(), e.g., when called twice, a RuntimeException is thrown.

Parameters:

value - Value corresponding to point returned by previous getNextPoint() call.

optimize

public void optimize()

value

public double value(double parameter)

getNumberOfIterations

public int getNumberOfIterations()

Returns:

Returns the number of iterations needed so far.

getAccuracy

public double getAccuracy()

Returns:

Returns the accuracy obtained so far.

isDone

public boolean isDone()

Returns:

Returns true if the solver is unable to improve further. This may be either due to reached accuracy or due to no solution existing.