net.finmath.optimizer.StochasticOptimizerFactoryLevenbergMarquardt Maven / Gradle / Ivy
Go to download
Show more of this group Show more artifacts with this name
Show all versions of finmath-lib Show documentation
Show all versions of finmath-lib Show documentation
finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 29.05.2015
*/
package net.finmath.optimizer;
import net.finmath.optimizer.StochasticOptimizer.ObjectiveFunction;
import net.finmath.stochastic.RandomVariable;
/**
* @author Christian Fries
* @version 1.0
*/
public class StochasticOptimizerFactoryLevenbergMarquardt implements StochasticOptimizerFactory {
private final StochasticLevenbergMarquardt.RegularizationMethod regularizationMethod;
private final int maxIterations;
private final double errorTolerance;
private final int maxThreads;
public StochasticOptimizerFactoryLevenbergMarquardt(final StochasticLevenbergMarquardt.RegularizationMethod regularizationMethod, final int maxIterations, final double errorTolerance, final int maxThreads) {
super();
this.regularizationMethod = regularizationMethod;
this.maxIterations = maxIterations;
this.errorTolerance = errorTolerance;
this.maxThreads = maxThreads;
}
public StochasticOptimizerFactoryLevenbergMarquardt(final int maxIterations, final double errorTolerance, final int maxThreads) {
this(StochasticLevenbergMarquardt.RegularizationMethod.LEVENBERG_MARQUARDT, maxIterations, errorTolerance, maxThreads);
}
public StochasticOptimizerFactoryLevenbergMarquardt(final int maxIterations, final int maxThreads) {
this(maxIterations, 0.0, maxThreads);
}
@Override
public StochasticOptimizer getOptimizer(final ObjectiveFunction objectiveFunction, final RandomVariable[] initialParameters, final RandomVariable[] lowerBound, final RandomVariable[] upperBound, final RandomVariable[] parameterSteps, final RandomVariable[] targetValues) {
return
new StochasticLevenbergMarquardt(regularizationMethod, initialParameters, targetValues, parameterSteps, maxIterations, errorTolerance, maxThreads)
{
private static final long serialVersionUID = -7050719719557572792L;
@Override
public void setValues(final RandomVariable[] parameters, final RandomVariable[] values) throws SolverException {
objectiveFunction.setValues(parameters, values);
}
};
}
}