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

Class ShermanMorrisonVectorRootFinder

java.lang.Object

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

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

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

All Implemented Interfaces:

SingleRootFinder<DoubleArray,DoubleArray>, NewtonVectorRootFinder

public class ShermanMorrisonVectorRootFinder
extends BaseNewtonVectorRootFinder

A root finder that uses the Sherman-Morrison formula to invert Broyden's Jacobian update formula, thus providing a direct update formula for the inverse Jacobian.

Constructor Summary

Constructors

Constructor and Description
ShermanMorrisonVectorRootFinder() Creates an instance.
ShermanMorrisonVectorRootFinder(double absoluteTol, double relativeTol, int maxSteps) Creates an instance.
ShermanMorrisonVectorRootFinder(double absoluteTol, double relativeTol, int maxSteps, Decomposition<?> decomp) Creates an instance.
ShermanMorrisonVectorRootFinder(double absoluteTol, double relativeTol, int maxSteps, Decomposition<?> decomp, MatrixAlgebra algebra) Creates an instance.

Method Summary

Methods inherited from class com.opengamma.strata.math.impl.rootfinding.newton.BaseNewtonVectorRootFinder

findRoot, findRoot, getRoot, updatePosition

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

ShermanMorrisonVectorRootFinder

public ShermanMorrisonVectorRootFinder()

Creates an instance.

ShermanMorrisonVectorRootFinder

public ShermanMorrisonVectorRootFinder(double absoluteTol,
                                       double relativeTol,
                                       int maxSteps)

Creates an instance.

Parameters:

absoluteTol - the absolute tolerance

relativeTol - the relative tolerance

maxSteps - the maximum steps

ShermanMorrisonVectorRootFinder

public ShermanMorrisonVectorRootFinder(double absoluteTol,
                                       double relativeTol,
                                       int maxSteps,
                                       Decomposition<?> decomp)

Creates an instance.

Parameters:

absoluteTol - the absolute tolerance

relativeTol - the relative tolerance

maxSteps - the maximum steps

decomp - the decomposition

ShermanMorrisonVectorRootFinder

public ShermanMorrisonVectorRootFinder(double absoluteTol,
                                       double relativeTol,
                                       int maxSteps,
                                       Decomposition<?> decomp,
                                       MatrixAlgebra algebra)

Creates an instance.

Parameters:

absoluteTol - the absolute tolerance

relativeTol - the relative tolerance

maxSteps - the maximum steps

decomp - the decomposition

algebra - the instance of matrix algebra