org.jquantlib.math.optimization

Class EndCriteria

java.lang.Object

org.jquantlib.math.optimization.EndCriteria

public class EndCriteria
extends java.lang.Object

Criteria to end optimization process

• maximum number of iterations AND minimum number of iterations around stationary point
• x (independent variable) stationary point
• y=f(x) (dependent variable) stationary point
• stationary gradient

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	EndCriteria.Type

Constructor Summary

Constructors

Constructor and Description
EndCriteria(int maxIterations, int maxStationaryStateIterations, double rootEpsilon, double functionEpsilon, double gradientNormEpsilon)

Method Summary

Modifier and Type	Method and Description
boolean	checkMaxIterations(int iteration, EndCriteria.Type ecType) Test if the number of iteration is below MaxIterations
boolean	checkStationaryFunctionAccuracy(double f, boolean positiveOptimization, EndCriteria.Type ecType) Test if the function value is below functionEpsilon
boolean	checkStationaryFunctionValue(double fxOld, double fxNew, int statStateIterations, EndCriteria.Type ecType) Test if the function variation is below functionEpsilon
boolean	checkStationaryPoint(double xOld, double xNew, int statStateIterations, EndCriteria.Type ecType) Test if the root variation is below rootEpsilon
boolean	checkZeroGradientNorm(double gradientNorm, EndCriteria.Type ecType) Test if the gradient norm value is below gradientNormEpsilon
boolean	get(int iteration, int statStateIterations, boolean positiveOptimization, double fold, double normgold, double fnew, double normgnew, EndCriteria.Type ecType) Test if the number of iterations is not too big and if a minimum point is not reached
double	getFunctionEpsilon()
double	getGradientNormEpsilon()
int	getMaxIterations()
int	getMaxStationaryStateIterations()
double	getRootEpsilon()

Methods inherited from class java.lang.Object

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

Constructor Detail

EndCriteria

public EndCriteria(int maxIterations,
                   int maxStationaryStateIterations,
                   double rootEpsilon,
                   double functionEpsilon,
                   double gradientNormEpsilon)

Method Detail

checkMaxIterations

public boolean checkMaxIterations(int iteration,
                                  EndCriteria.Type ecType)

Test if the number of iteration is below MaxIterations

checkStationaryPoint

public boolean checkStationaryPoint(double xOld,
                                    double xNew,
                                    int statStateIterations,
                                    EndCriteria.Type ecType)

Test if the root variation is below rootEpsilon

checkStationaryFunctionValue

public boolean checkStationaryFunctionValue(double fxOld,
                                            double fxNew,
                                            int statStateIterations,
                                            EndCriteria.Type ecType)

Test if the function variation is below functionEpsilon

checkStationaryFunctionAccuracy

public boolean checkStationaryFunctionAccuracy(double f,
                                               boolean positiveOptimization,
                                               EndCriteria.Type ecType)

Test if the function value is below functionEpsilon

checkZeroGradientNorm

public boolean checkZeroGradientNorm(double gradientNorm,
                                     EndCriteria.Type ecType)

Test if the gradient norm value is below gradientNormEpsilon

get

public boolean get(int iteration,
                   int statStateIterations,
                   boolean positiveOptimization,
                   double fold,
                   double normgold,
                   double fnew,
                   double normgnew,
                   EndCriteria.Type ecType)

Test if the number of iterations is not too big and if a minimum point is not reached

getMaxIterations

public final int getMaxIterations()

getMaxStationaryStateIterations

public final int getMaxStationaryStateIterations()

getRootEpsilon

public final double getRootEpsilon()

getFunctionEpsilon

public final double getFunctionEpsilon()

getGradientNormEpsilon

public final double getGradientNormEpsilon()