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finmath lib is a Mathematical Finance Library in Java. It provides algorithms and methodologies related to mathematical finance.

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/*
 * (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
 *
 * Created on 29.05.2015
 */

package net.finmath.optimizer;

import net.finmath.stochastic.RandomVariable;

/**
 * @author Christian Fries
 *
 * @version 1.0
 */
public interface StochasticOptimizer {

	/**
	 * The interface describing the objective function of a StochasticOptimizer.
	 *
	 * @author Christian Fries
	 */
	interface ObjectiveFunction {
		void setValues(RandomVariable[] parameters, RandomVariable[] values) throws SolverException;
	}

	/**
	 * Get the best fit parameter vector.
	 *
	 * @return The best fit parameter.
	 */
	RandomVariable[] getBestFitParameters();

	/**
	 * @return the the root mean square error achieved with the the best fit parameter
	 */
	double getRootMeanSquaredError();

	/**
	 * Get the number of iterations.
	 *
	 * @return The number of iterations required
	 */
	int getIterations();

	/**
	 * Runs the optimization.
	 *
	 * @throws SolverException Thrown if the valuation fails, specific cause may be available via the cause() method.
	 */
	void run() throws SolverException;
}