private boolean getNextPosition(
final Function1D<DoubleMatrix1D, Double> function,
final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad,
final DataBundle data) {
final DoubleMatrix1D p = getDirection(data);
if (data.getLambda0() < 1.0) {
data.setLambda0(1.0);
} else {
data.setLambda0(data.getLambda0() * BETA);
}
updatePosition(p, function, data);
final double g1 = data.getG1();
// the function is invalid at the new position, try to recover
if (Double.isInfinite(g1) || Double.isNaN(g1)) {
bisectBacktrack(p, function, data);
}
if (data.getG1() > data.getG0() / (1 + ALPHA * data.getLambda0())) {
quadraticBacktrack(p, function, data);
int count = 0;
while (data.getG1() > data.getG0() / (1 + ALPHA * data.getLambda0())) {
if (count > 5) {
return false;
}
cubicBacktrack(p, function, data);
count++;
}
}
final DoubleMatrix1D deltaX = data.getDeltaX();
data.setX((DoubleMatrix1D) MA.add(data.getX(), deltaX));
data.setG0(data.getG1());
final DoubleMatrix1D gradNew = grad.evaluate(data.getX());
data.setDeltaGrad((DoubleMatrix1D) MA.subtract(gradNew, data.getGrad()));
data.setGrad(gradNew);
return true;
}
protected void updatePosition(
final DoubleMatrix1D p,
final Function1D<DoubleMatrix1D, Double> function,
final DataBundle data) {
final double lambda0 = data.getLambda0();
final DoubleMatrix1D deltaX = (DoubleMatrix1D) MA.scale(p, lambda0);
final DoubleMatrix1D xNew = (DoubleMatrix1D) MA.add(data.getX(), deltaX);
data.setDeltaX(deltaX);
data.setG2(data.getG1());
final double y = function.evaluate(xNew);
data.setG1(y * y);
}
/** Compare results with Common decomposition */
public void compareCommon() {
final CholeskyDecompositionResult resultOG = CDOG.evaluate(A3);
final CholeskyDecompositionResult resultC = CDC.evaluate(A3);
checkEquals(resultC.getL(), resultOG.getL());
checkEquals(ALGEBRA.getTranspose(resultC.getL()), resultOG.getLT());
assertEquals("Determinant", resultC.getDeterminant(), resultOG.getDeterminant(), 1.0E-10);
}
/**
* Calculate the instrument sensitivity from the yield sensitivity, the jacobian matrix and the
* coupon sensitivity.
*
* @param curveSensitivities The sensitivity to points of the yield curve.
* @param curves The curve bundle.
* @param couponSensitivity The sensitivity
* @param jacobian The present value coupon sensitivity.
* @return The instrument quote/rate sensitivity.
*/
public DoubleMatrix1D calculateFromPresentValue(
final Map<String, List<DoublesPair>> curveSensitivities,
final YieldCurveBundle curves,
final DoubleMatrix1D couponSensitivity,
final DoubleMatrix2D jacobian) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : curves.getAllNames()) {
final DoubleMatrix1D nodeSensitivity =
new DoubleMatrix1D(
(_parameterSensitivityCalculator.pointToParameterSensitivity(
curveSensitivities.get(curveName), curves.getCurve(curveName)))
.toArray(new Double[0]));
final int n = nodeSensitivity.getNumberOfElements();
final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum +=
-couponSensitivity.getEntry(i)
* inverseJacobian.getEntry(j, i)
* nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
/** Tests solve Ax = b from A and b. */
public void solveVector() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[] b = new double[] {1.0, 2.0, 3.0, 4.0, -1.0};
double[] x = result.solve(b);
DoubleMatrix1D ax = (DoubleMatrix1D) ALGEBRA.multiply(A5, new DoubleMatrix1D(x));
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b, ax.getData(), 1.0E-10);
}
/** Tests solve AX = B from A and B. */
public void solveMatrix() {
final CholeskyDecompositionResult result = CDOG.evaluate(A5);
double[][] b = new double[][] {{1.0, 2.0}, {2.0, 3.0}, {3.0, 4.0}, {4.0, -2.0}, {-1.0, -1.0}};
DoubleMatrix2D x = result.solve(new DoubleMatrix2D(b));
DoubleMatrix2D ax = (DoubleMatrix2D) ALGEBRA.multiply(A5, x);
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b[0], ax.getData()[0], 1.0E-10);
ArrayAsserts.assertArrayEquals(
"Cholesky decomposition OpenGamma - solve", b[1], ax.getData()[1], 1.0E-10);
}
private boolean isConverged(final DataBundle data) {
final DoubleMatrix1D deltaX = data.getDeltaX();
final DoubleMatrix1D x = data.getX();
final int n = deltaX.getNumberOfElements();
double diff, scale;
for (int i = 0; i < n; i++) {
diff = Math.abs(deltaX.getEntry(i));
scale = Math.abs(x.getEntry(i));
if (diff > _absoluteTol + scale * _relativeTol) {
return false;
}
}
return (MA.getNorm2(data.getGrad()) < _absoluteTol);
}
/** Tests A = L L^T. */
public void recoverOrginal() {
final CholeskyDecompositionResult result = CDOG.evaluate(A3);
final DoubleMatrix2D a = (DoubleMatrix2D) ALGEBRA.multiply(result.getL(), result.getLT());
checkEquals(A3, a);
}
/**
* Compute the market quote sensitivity from the parameter sensitivity and the inverse Jacobian
* matrix.
*
* @param parameterSensitivity The parameter sensitivity.
* @param inverseJacobian The inverse Jacobian matrix (derivative of the curve parameters with
* respect to the market quotes).
* @return The market quote sensitivity.
*/
public DoubleMatrix1D fromParameterSensitivityInverseJacobian(
final DoubleMatrix1D parameterSensitivity, final DoubleMatrix2D inverseJacobian) {
return (DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity, inverseJacobian);
}
private DoubleMatrix1D getDirection(final DataBundle data) {
return (DoubleMatrix1D)
MA.multiply(data.getInverseHessianEsimate(), MA.scale(data.getGrad(), -1.0));
}
