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• Preconditioner.java

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org.apache.commons.math3.optim.nonlinear.scalar.gradient.Preconditioner Maven / Gradle / Ivy

/*
 * Licensed to the Apache Software Foundation (ASF) under one or more
 * contributor license agreements.  See the NOTICE file distributed with
 * this work for additional information regarding copyright ownership.
 * The ASF licenses this file to You under the Apache License, Version 2.0
 * (the "License"); you may not use this file except in compliance with
 * the License.  You may obtain a copy of the License at
 *
 *      http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 */

package org.apache.commons.math3.optim.nonlinear.scalar.gradient;

/**
 * This interface represents a preconditioner for differentiable scalar
 * objective function optimizers.
 * @since 2.0
 */
public interface Preconditioner {
    /**
     * Precondition a search direction.
     * 

     * The returned preconditioned search direction must be computed fast or
     * the algorithm performances will drop drastically. A classical approach
     * is to compute only the diagonal elements of the hessian and to divide
     * the raw search direction by these elements if they are all positive.
     * If at least one of them is negative, it is safer to return a clone of
     * the raw search direction as if the hessian was the identity matrix. The
     * rationale for this simplified choice is that a negative diagonal element
     * means the current point is far from the optimum and preconditioning will
     * not be efficient anyway in this case.
     * 
     * @param point current point at which the search direction was computed
     * @param r raw search direction (i.e. opposite of the gradient)
     * @return approximation of H-1r where H is the objective function hessian
     */
    double[] precondition(double[] point, double[] r);
}