org.jquantlib.math.optimization

Class Simplex

java.lang.Object

org.jquantlib.math.optimization.OptimizationMethod

org.jquantlib.math.optimization.Simplex

public class Simplex
extends OptimizationMethod

The implementation of the algorithm was highly inspired by "Numerical Recipes in C", 2nd edition, Press, Teukolsky, Vetterling, Flannery, chapter 10.

Modified may 2007: end criteria set on x instead on fx, inspired by bad behaviour found with test function (it reports x=0 as the minimum!) and by GSL implementation, v. 1.9 (http://www.gnu.org/software/gsl/)

See Also:

http://www.gnu.org/software/gsl/

Constructor Summary

Constructors

Constructor and Description
Simplex(double lambda) constructor taking as input the characteristic length

Method Summary

Modifier and Type	Method and Description
double	computeSimplexSize(java.util.List<Array> vertices)
double	extrapolate(Problem P, int iHighest, double factor)
EndCriteria.Type	minimize(Problem P, EndCriteria endCriteria)

Methods inherited from class java.lang.Object

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

Constructor Detail

Simplex

public Simplex(double lambda)

constructor taking as input the characteristic length

Method Detail

computeSimplexSize

public double computeSimplexSize(java.util.List<Array> vertices)

extrapolate

public double extrapolate(Problem P,
                          int iHighest,
                          double factor)

minimize

public EndCriteria.Type minimize(Problem P,
                                 EndCriteria endCriteria)

Specified by:

minimize in class OptimizationMethod