org.jquantlib.math.optimization

Class Problem

java.lang.Object

org.jquantlib.math.optimization.Problem

public class Problem
extends java.lang.Object

Constrained optimization problem

Constructor Summary

Constructors

Constructor and Description
Problem(CostFunction costFunction, Constraint constraint)
Problem(CostFunction costFunction, Constraint constraint, Array initialValue)

Method Summary

Modifier and Type	Method and Description
Constraint	constraint() Constraint
CostFunction	costFunction() Cost function
Array	currentValue() current value of the local minimum
int	functionEvaluation() number of evaluation of cost function
double	functionValue() value of cost function
void	gradient(Array grad_f, Array x) Call cost function gradient computation and increment evaluation counter
int	gradientEvaluation() number of evaluation of cost function gradient
double	gradientNormValue() value of cost function gradient norm
void	reset()
void	setCurrentValue(Array currentValue)
void	setFunctionValue(double functionValue)
void	setGradientNormValue(double squaredNorm)
double	value(Array x) Call cost function computation and increment evaluation counter
double	valueAndGradient(Array grad_f, Array x) Call cost function computation and it gradient
Array	values(Array x) Call cost values computation and increment evaluation counter

Methods inherited from class java.lang.Object

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

Constructor Detail

Problem

public Problem(CostFunction costFunction,
               Constraint constraint)

Problem

public Problem(CostFunction costFunction,
               Constraint constraint,
               Array initialValue)

Method Detail

reset

public void reset()

value

public double value(Array x)

Call cost function computation and increment evaluation counter

values

public Array values(Array x)

Call cost values computation and increment evaluation counter

gradient

public void gradient(Array grad_f,
                     Array x)

Call cost function gradient computation and increment evaluation counter

valueAndGradient

public double valueAndGradient(Array grad_f,
                               Array x)

Call cost function computation and it gradient

constraint

public Constraint constraint()

Constraint

costFunction

public CostFunction costFunction()

Cost function

setCurrentValue

public void setCurrentValue(Array currentValue)

currentValue

public final Array currentValue()

current value of the local minimum

setFunctionValue

public void setFunctionValue(double functionValue)

functionValue

public double functionValue()

value of cost function

setGradientNormValue

public void setGradientNormValue(double squaredNorm)

gradientNormValue

public double gradientNormValue()

value of cost function gradient norm

functionEvaluation

public int functionEvaluation()

number of evaluation of cost function

gradientEvaluation

public int gradientEvaluation()

number of evaluation of cost function gradient