com.opengamma.strata.math.impl.minimization

Class UncoupledParameterTransforms

java.lang.Object

com.opengamma.strata.math.impl.minimization.UncoupledParameterTransforms

All Implemented Interfaces:

NonLinearParameterTransforms

public class UncoupledParameterTransforms
extends Object
implements NonLinearParameterTransforms

For a set of n function parameters, this takes n ParameterLimitsTransform (which can be the NullTransform which does NOT transform the parameter) which transform a constrained function parameter (e.g. must be between -1 and 1) to a unconstrained fit parameter. It also takes a BitSet (of length n) with an element set to true if that parameter is fixed - a set of n startValues must also be provided, with only those corresponding to fixed parameters being used (i.e. the parameter is fixed at the startValue). The purpose is to allow an optimiser to work with unconstrained parameters without modifying the function that one wishes to optimise.

Constructor Summary

Constructors

Constructor and Description
UncoupledParameterTransforms(DoubleArray startValues, ParameterLimitsTransform[] transforms, BitSet fixed)

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
int	getNumberOfFittingParameters()
int	getNumberOfModelParameters()
int	hashCode()
DoubleMatrix	inverseJacobian(DoubleArray fittingParameters) Calculates the Jacobian of the transform from fitting parameters to function parameters - the i,j element will be the partial derivative of i^th function parameter with respect.
DoubleArray	inverseTransform(DoubleArray fittingParameters) Transforms from a set of unconstrained fitting parameters to a (possibly larger) set of function parameters (some of which may have constrained range and/or be fixed).
DoubleMatrix	jacobian(DoubleArray functionParameters) Calculates the Jacobian of the transform from function parameters to fitting parameters - the i,j element will be the partial derivative of i^th fitting parameter with respect.
DoubleArray	transform(DoubleArray functionParameters) Transforms from a set of function parameters (some of which may have constrained range and/or be fixed) to a (possibly smaller) set of unconstrained fitting parameters.

Methods inherited from class java.lang.Object

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

Constructor Detail

UncoupledParameterTransforms

public UncoupledParameterTransforms(DoubleArray startValues,
                                    ParameterLimitsTransform[] transforms,
                                    BitSet fixed)

Parameters:

startValues - fixed parameter values (if no parameters are fixed this is completely ignored)

transforms - Array of ParameterLimitsTransform (which can be the NullTransform which does NOT transform the parameter) which transform a constrained function parameter (e.g. must be between -1 and 1) to a unconstrained fit parameter.

fixed - BitSet with an element set to true if that parameter is fixed

Method Detail

getNumberOfModelParameters

public int getNumberOfModelParameters()

Specified by:

getNumberOfModelParameters in interface NonLinearParameterTransforms

Returns:

The number of function parameters

getNumberOfFittingParameters

public int getNumberOfFittingParameters()

Specified by:

getNumberOfFittingParameters in interface NonLinearParameterTransforms

Returns:

The number of fitting parameters (equals the number of model parameters minus the number of fixed parameters)

transform

public DoubleArray transform(DoubleArray functionParameters)

Transforms from a set of function parameters (some of which may have constrained range and/or be fixed) to a (possibly smaller) set of unconstrained fitting parameters. Note: If a parameter is fixed, it is its value as provided by startValues not the value given here that will be returned by inverseTransform (and thus used in the function).

Specified by:

transform in interface NonLinearParameterTransforms

Parameters:

functionParameters - The function parameters

Returns:

The fitting parameters

inverseTransform

public DoubleArray inverseTransform(DoubleArray fittingParameters)

Transforms from a set of unconstrained fitting parameters to a (possibly larger) set of function parameters (some of which may have constrained range and/or be fixed).

Specified by:

inverseTransform in interface NonLinearParameterTransforms

Parameters:

fittingParameters - The fitting parameters

Returns:

The function parameters

jacobian

public DoubleMatrix jacobian(DoubleArray functionParameters)

Calculates the Jacobian of the transform from function parameters to fitting parameters - the i,j element will be the partial derivative of i^th fitting parameter with respect. to the j^th function parameter

Specified by:

jacobian in interface NonLinearParameterTransforms

Parameters:

functionParameters - The function parameters

Returns:

matrix of partial derivative of fitting parameter with respect to function parameters

inverseJacobian

public DoubleMatrix inverseJacobian(DoubleArray fittingParameters)

Calculates the Jacobian of the transform from fitting parameters to function parameters - the i,j element will be the partial derivative of i^th function parameter with respect. to the j^th fitting parameter

Specified by:

inverseJacobian in interface NonLinearParameterTransforms

Parameters:

fittingParameters - The fitting parameters

Returns:

matrix of partial derivative of function parameter with respect to fitting parameters

hashCode

public int hashCode()

Overrides:

hashCode in class Object

equals

public boolean equals(Object obj)

Overrides:

equals in class Object