net.finmath.rootfinder.StochasticNewtonMethod Maven / Gradle / Ivy
package net.finmath.rootfinder;
import net.finmath.stochastic.RandomVariable;
/**
* Implementation of Newtons method for maps on random variables.
*
* @author Christian Fries
* @author Stefan Sedlmair
* @version 1.0
*/
public class StochasticNewtonMethod implements StochasticRootFinderUsingDerivative {
public enum MethodForAccuracy {AVERAGE, MAX, MIN}
private RandomVariable nextPoint; // Stores the next point to be returned by getPoint()
private RandomVariable bestPoint; // Best point so far
private int numberOfIterations = 0; // Number of numberOfIterations
private double accuracy = Double.MAX_VALUE; // Current accuracy of solution
private final boolean isDone = false; // Will be true if machine accuracy has been reached
private final MethodForAccuracy method;
/**
* @param guess {@link RandomVariable} representing a first guess to start of the Newton Method
* @param method defines the Method used to gain the accuracy for the Newton Iteration
*/
public StochasticNewtonMethod(final RandomVariable guess, final MethodForAccuracy method) {
bestPoint = guess;
nextPoint = guess;
this.method = method;
}
@Override
public RandomVariable getNextPoint() {
return nextPoint;
}
@Override
public void setValueAndDerivative(final RandomVariable value, final RandomVariable derivative) {
double currentAccuracy;
switch (method) {
case AVERAGE:
currentAccuracy = value.abs().getAverage();
break;
case MAX:
currentAccuracy = value.abs().getMax();
break;
case MIN:
currentAccuracy = value.abs().getMin();
break;
default:
throw new IllegalArgumentException("Method to get current accuracy from RandomVariable not supported!");
}
if(currentAccuracy < accuracy)
{
accuracy = currentAccuracy;
bestPoint = nextPoint;
}
// Calculate next point
nextPoint = nextPoint.addRatio(value,derivative);
numberOfIterations++;
}
@Override
public int getNumberOfIterations() {
return numberOfIterations;
}
@Override
public double getAccuracy() {
return accuracy;
}
@Override
public boolean isDone() {
return isDone;
}
@Override
public RandomVariable getBestPoint() {
return bestPoint;
}
}