Class StochasticNewtonMethod

java.lang.Object

net.finmath.rootfinder.StochasticNewtonMethod

All Implemented Interfaces:

StochasticRootFinderUsingDerivative

public class StochasticNewtonMethod
extends Object
implements StochasticRootFinderUsingDerivative

Implementation of Newtons method for maps on random variables.

Version:

1.0

Author:

Christian Fries, Stefan Sedlmair

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	StochasticNewtonMethod.MethodForAccuracy

Constructor Summary

Constructors

Constructor	Description
StochasticNewtonMethod(RandomVariable guess, StochasticNewtonMethod.MethodForAccuracy method)

Method Summary

Modifier and Type	Method	Description
double	getAccuracy()
RandomVariable	getBestPoint()
RandomVariable	getNextPoint()
int	getNumberOfIterations()
boolean	isDone()
void	setValueAndDerivative(RandomVariable value, RandomVariable derivative)

Methods inherited from class Object

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

Constructor Details

StochasticNewtonMethod

public StochasticNewtonMethod(RandomVariable guess,
 StochasticNewtonMethod.MethodForAccuracy method)

Parameters:

guess - RandomVariable representing a first guess to start of the Newton Method

method - defines the Method used to gain the accuracy for the Newton Iteration

Method Details

getNextPoint

public RandomVariable getNextPoint()

Specified by:

getNextPoint in interface StochasticRootFinderUsingDerivative

Returns:

Next point for which a value should be set using setValue.

setValueAndDerivative

public void setValueAndDerivative(RandomVariable value,
 RandomVariable derivative)

Specified by:

setValueAndDerivative in interface StochasticRootFinderUsingDerivative

Parameters:

value - The value corresponding to the point returned by previous getNextPoint call.

derivative - The derivative corresponding to the point returned by previous getNextPoint call.

getNumberOfIterations

public int getNumberOfIterations()

Specified by:

getNumberOfIterations in interface StochasticRootFinderUsingDerivative

Returns:

Returns the numberOfIterations.

getAccuracy

public double getAccuracy()

Specified by:

getAccuracy in interface StochasticRootFinderUsingDerivative

Returns:

Returns the accuracy.

isDone

public boolean isDone()

Specified by:

isDone in interface StochasticRootFinderUsingDerivative

Returns:

Returns true if further improvement is not possible.

getBestPoint

public RandomVariable getBestPoint()

Specified by:

getBestPoint in interface StochasticRootFinderUsingDerivative

Returns:

Best point obtained so far