com.opengamma.strata.math.impl.minimization

Interface NonLinearParameterTransforms

All Known Implementing Classes:

UncoupledParameterTransforms

public interface NonLinearParameterTransforms

Describes the transformation (and its inverse) from a set of n variables (e.g. model parameters) to a set of m variables (e.g. fitting parameters), where m <= n.The principle use is in constrained optimisation, where the valid values of the parameters of a model live in some hyper-volume in R^n, but we wish to work with unconstrained variables in R^m.

The model parameters are denoted as y and the unconstrained variables as y*, which are related by the vector function y* = f(y), and its inverse y = f^-1(y*). The i,j element of the Jacobian is the rate of change of the i^th element of y* with respect to the j ^th element of y, which is a (matrix) function of y, i.e. J(y). The inverse Jacobian is the rate of change of y with respect to y*, i.e. J^-1(y*). These four functions must be provided by implementations of this interface.

Method Summary

Modifier and Type	Method and Description
int	getNumberOfFittingParameters()
int	getNumberOfModelParameters()
DoubleMatrix	inverseJacobian(DoubleArray fittingParameters) Calculates the inverse Jacobian - the rate of change of the model parameters WRT the fitting parameters.
DoubleArray	inverseTransform(DoubleArray fittingParameters) Transforms from a set of unconstrained fitting parameters to a (possibly larger) set of function parameters.
DoubleMatrix	jacobian(DoubleArray modelParameters) Calculates the Jacobian - the rate of change of the fitting parameters WRT the model parameters.
DoubleArray	transform(DoubleArray modelParameters) Transforms from a set of model parameters to a (possibly smaller) set of unconstrained fitting parameters.

Method Detail

getNumberOfModelParameters

int getNumberOfModelParameters()

getNumberOfFittingParameters

int getNumberOfFittingParameters()

transform

DoubleArray transform(DoubleArray modelParameters)

Transforms from a set of model parameters to a (possibly smaller) set of unconstrained fitting parameters.

Parameters:

modelParameters - the model parameters

Returns:

The fitting parameters

inverseTransform

DoubleArray inverseTransform(DoubleArray fittingParameters)

Transforms from a set of unconstrained fitting parameters to a (possibly larger) set of function parameters.

Parameters:

fittingParameters - The fitting parameters

Returns:

The model parameters

jacobian

DoubleMatrix jacobian(DoubleArray modelParameters)

Calculates the Jacobian - the rate of change of the fitting parameters WRT the model parameters.

Parameters:

modelParameters - The model parameters

Returns:

The Jacobian

inverseJacobian

DoubleMatrix inverseJacobian(DoubleArray fittingParameters)

Calculates the inverse Jacobian - the rate of change of the model parameters WRT the fitting parameters.

Parameters:

fittingParameters - The fitting parameters

Returns:

the inverse Jacobian