Module net.finmath.lib
Package net.finmath.optimizer

Class GoldenSectionSearch

java.lang.Object
net.finmath.optimizer.GoldenSectionSearch
public class GoldenSectionSearch extends Object
This class implements a Golden Section search algorithm, i.e., a minimization, implemented as a question-and-answer search algorithm. Example: 
 
                GoldenSectionSearch search = new GoldenSectionSearch(-1.0, 5.0);
                while(search.getAccuracy() > 1E-11 && !search.isDone()) {
                        double x = search.getNextPoint();

                        double y = (x - 0.656) * (x - 0.656);

                        search.setValue(y);
                }
For an example on how to use this class see also its main method.
Version:
1.1
Author:
Christian Fries - http://www.christian-fries.de

  • Field Details

    • GOLDEN_SECTION_RATIO

      public static final double GOLDEN_SECTION_RATIO

  • Constructor Details

    • GoldenSectionSearch

      public GoldenSectionSearch​(double leftPoint, double rightPoint)
      Parameters:
      leftPoint - left point of search interval
      rightPoint - right point of search interval

  • Method Details

    • main

      public static void main​(String[] args)

    • getBestPoint

      public double getBestPoint()
      Returns:
      Returns the best point obtained so far.

    • getNextPoint

      public double getNextPoint()
      Returns the next point for which a valuation is requested.
      Returns:
      Returns the next point for which a value should be set using setValue.

    • setValue

      public void setValue​(double value)
      Set the value corresponding to the point returned by a previous call of getNextPoint(). If setValue is called without prior call to getNextPoint(), e.g., when called twice, a RuntimeException is thrown.
      Parameters:
      value - Value corresponding to point returned by previous getNextPoint() call.

    • optimize

      public GoldenSectionSearch optimize()

    • value

      public double value​(double parameter)

    • getGoldenSection

      public static double getGoldenSection​(double left, double right)
      Get the golden section of an interval as gs * left + (1-gs) * right, where gs is GOLDEN_SECTION_RATIO.
      Parameters:
      left - Left point of the interval.
      right - Right point of the interval.
      Returns:
      Returns the golden section of an interval.

    • getNumberOfIterations

      public int getNumberOfIterations()
      Returns:
      Returns the number of iterations needed so far.

    • getAccuracy

      public double getAccuracy()
      Returns:
      Returns the accuracy obtained so far.

    • isDone

      public boolean isDone()
      Returns:
      Returns true if the solver is unable to improve further. This may be either due to reached accuracy or due to no solution existing.