com.opengamma.strata.math.impl.minimization

Class SumToOne

java.lang.Object

com.opengamma.strata.math.impl.minimization.SumToOne

public class SumToOne
extends Object

For a set of N-1 "fit" parameters, produces N "model" parameters that sum to one.

Constructor Summary

Constructors

Constructor and Description
SumToOne(int n) For a set of N-1 "fit" parameters, produces N "model" parameters that sum to one.

Method Summary

Modifier and Type	Method and Description
protected static int[][]	getSet(int n)
double[]	inverseTransform(double[] modelParms) Inverse transform from the N "model" parameters to the N-1 "fit" parameters.
DoubleArray	inverseTransform(DoubleArray modelParms) Inverse transform from the N "model" parameters to the N-1 "fit" parameters.
double[][]	jacobian(double[] fitParms) The N by N-1 Jacobian matrix between the N "model" parameters (that sum to one) and the N-1 "fit" parameters.
DoubleMatrix	jacobian(DoubleArray fitParms) The N by N-1 Jacobian matrix between the N "model" parameters (that sum to one) and the N-1 "fit" parameters.
double[]	transform(double[] fitParms) Transform from the N-1 "fit" parameters to the N "model" parameters.
DoubleArray	transform(DoubleArray fitParms) Transform from the N-1 "fit" parameters to the N "model" parameters.

Methods inherited from class java.lang.Object

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

Constructor Detail

SumToOne

public SumToOne(int n)

For a set of N-1 "fit" parameters, produces N "model" parameters that sum to one.

Parameters:

n - The number of "model" parameters, N

Method Detail

transform

public double[] transform(double[] fitParms)

Transform from the N-1 "fit" parameters to the N "model" parameters.

Parameters:

fitParms - The N-1 "fit" parameters

Returns:

The N "model" parameters

transform

public DoubleArray transform(DoubleArray fitParms)

Transform from the N-1 "fit" parameters to the N "model" parameters.

Parameters:

fitParms - The N-1 "fit" parameters

Returns:

The N "model" parameters

inverseTransform

public double[] inverseTransform(double[] modelParms)

Inverse transform from the N "model" parameters to the N-1 "fit" parameters. Used mainly to find the start position of a optimisation routine.

Parameters:

modelParms - The N "model" parameters. These must sum to one

Returns:

The N-1 "fit" parameters

inverseTransform

public DoubleArray inverseTransform(DoubleArray modelParms)

Inverse transform from the N "model" parameters to the N-1 "fit" parameters. Used mainly to find the start position of a optimisation routine.

Parameters:

modelParms - The N "model" parameters. These must sum to one

Returns:

The N-1 "fit" parameters

jacobian

public double[][] jacobian(double[] fitParms)

The N by N-1 Jacobian matrix between the N "model" parameters (that sum to one) and the N-1 "fit" parameters.

Parameters:

fitParms - The N-1 "fit" parameters

Returns:

The N by N-1 Jacobian matrix

jacobian

public DoubleMatrix jacobian(DoubleArray fitParms)

The N by N-1 Jacobian matrix between the N "model" parameters (that sum to one) and the N-1 "fit" parameters.

Parameters:

fitParms - The N-1 "fit" parameters

Returns:

The N by N-1 Jacobian matrix

getSet

protected static int[][] getSet(int n)