com.opengamma.strata.math.impl.rootfinding.newton

Class BaseNewtonVectorRootFinder

java.lang.Object

com.opengamma.strata.math.impl.rootfinding.VectorRootFinder

com.opengamma.strata.math.impl.rootfinding.newton.BaseNewtonVectorRootFinder

All Implemented Interfaces:

SingleRootFinder<DoubleArray,DoubleArray>, NewtonVectorRootFinder

Direct Known Subclasses:

BroydenVectorRootFinder, NewtonDefaultVectorRootFinder, ShermanMorrisonVectorRootFinder

public class BaseNewtonVectorRootFinder
extends VectorRootFinder
implements NewtonVectorRootFinder

Base implementation for all Newton-Raphson style multi-dimensional root finding (i.e. using the Jacobian matrix as a basis for some iterative process)

Constructor Summary

Constructors

Constructor and Description
BaseNewtonVectorRootFinder(double absoluteTol, double relativeTol, int maxSteps, NewtonRootFinderDirectionFunction directionFunction, NewtonRootFinderMatrixInitializationFunction initializationFunction, NewtonRootFinderMatrixUpdateFunction updateFunction)

Method Summary

Modifier and Type	Method and Description
DoubleArray	findRoot(Function<DoubleArray,DoubleArray> function, DoubleArray startPosition) Finds the root from the specified start position.
DoubleArray	findRoot(Function<DoubleArray,DoubleArray> function, Function<DoubleArray,DoubleMatrix> jacobianFunction, DoubleArray startPosition) Finds the root from the specified start position.
DoubleArray	getRoot(Function<DoubleArray,DoubleArray> function, DoubleArray startPosition)
protected void	updatePosition(DoubleArray p, Function<DoubleArray,DoubleArray> function, com.opengamma.strata.math.impl.rootfinding.newton.BaseNewtonVectorRootFinder.DataBundle data)

Methods inherited from class com.opengamma.strata.math.impl.rootfinding.VectorRootFinder

checkInputsAndApplyFunction, getRoot

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.math.rootfind.NewtonVectorRootFinder

broyden, broyden, broyden

Constructor Detail

BaseNewtonVectorRootFinder

public BaseNewtonVectorRootFinder(double absoluteTol,
                                  double relativeTol,
                                  int maxSteps,
                                  NewtonRootFinderDirectionFunction directionFunction,
                                  NewtonRootFinderMatrixInitializationFunction initializationFunction,
                                  NewtonRootFinderMatrixUpdateFunction updateFunction)

Method Detail

getRoot

public DoubleArray getRoot(Function<DoubleArray,DoubleArray> function,
                           DoubleArray startPosition)

Specified by:

getRoot in class VectorRootFinder

Parameters:

function - The (vector) function, not null

startPosition - The starting point, not null

Returns:

The vector root of this function

findRoot

public DoubleArray findRoot(Function<DoubleArray,DoubleArray> function,
                            DoubleArray startPosition)

Description copied from interface: NewtonVectorRootFinder

Finds the root from the specified start position.

This applies the specified function to find the root. Note if multiple roots exist which one is found will depend on the start position.

Specified by:

findRoot in interface NewtonVectorRootFinder

Parameters:

function - the vector function

startPosition - the start position of the root finder for

Returns:

the vector root of the collection of functions

findRoot

public DoubleArray findRoot(Function<DoubleArray,DoubleArray> function,
                            Function<DoubleArray,DoubleMatrix> jacobianFunction,
                            DoubleArray startPosition)

Description copied from interface: NewtonVectorRootFinder

Finds the root from the specified start position.

This applies the specified function and Jacobian function to find the root. Note if multiple roots exist which one is found will depend on the start position.

Specified by:

findRoot in interface NewtonVectorRootFinder

Parameters:

function - the vector function

jacobianFunction - the function to calculate the Jacobian

startPosition - the start position of the root finder for

Returns:

the vector root of the collection of functions

updatePosition

protected void updatePosition(DoubleArray p,
                              Function<DoubleArray,DoubleArray> function,
                              com.opengamma.strata.math.impl.rootfinding.newton.BaseNewtonVectorRootFinder.DataBundle data)