org.akutan.optimization
Class ReturnSolver

java.lang.Object
  org.akutan.optimization.ActiveSetSolver
      org.akutan.optimization.ReturnSolver

All Implemented Interfaces:

Solver

Direct Known Subclasses:

BayesSteinSolver, LedoitWolfSolver, SphericalShrinkageSolver

public class ReturnSolver
extends ActiveSetSolver
implements Solver

Field Summary

Fields inherited from class org.akutan.optimization.ActiveSetSolver

df

Constructor Summary

ReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r, cern.colt.matrix.DoubleMatrix2D V_p)

Method Summary

protected java.util.List<Constraint>	cleanConstraints(java.util.List<Constraint> cons, java.util.Set<java.lang.Integer> equality, java.util.Set<java.lang.Integer> active, java.util.Set<java.lang.Integer> inactive) Called to remove constraints which aren't required
protected void	initialGuess(cern.colt.matrix.DoubleMatrix1D x, cern.colt.matrix.DoubleMatrix1D e_r, double r) Called to generate an initial guess for the solution.
java.util.List<SolvedPoint>	solve(java.util.List<Constraint> extraConstraints, org.akutan.optimization.ProgressIndicator progress)
cern.colt.matrix.DoubleMatrix1D	solveForReturn(double e_r_step, java.util.List<Constraint> extraConstraints)

Methods inherited from class org.akutan.optimization.ActiveSetSolver

algorithm, dumpConstraints, formatOutput, generateConstraints, generateValues, initialGuess, make2D, makePoint, setMatrix, setMatrix, solve, solveSingle

Methods inherited from class java.lang.Object

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

Constructor Detail

ReturnSolver

public ReturnSolver(cern.colt.matrix.DoubleMatrix1D e_r,
                    cern.colt.matrix.DoubleMatrix2D V_p)

Method Detail

solve

public java.util.List<SolvedPoint> solve(java.util.List<Constraint> extraConstraints,
                                         org.akutan.optimization.ProgressIndicator progress)

Specified by:

solve in interface Solver

solveForReturn

public cern.colt.matrix.DoubleMatrix1D solveForReturn(double e_r_step,
                                                      java.util.List<Constraint> extraConstraints)

cleanConstraints

protected java.util.List<Constraint> cleanConstraints(java.util.List<Constraint> cons,
                                                      java.util.Set<java.lang.Integer> equality,
                                                      java.util.Set<java.lang.Integer> active,
                                                      java.util.Set<java.lang.Integer> inactive)

Called to remove constraints which aren't required

Parameters:

cons -

initialGuess

protected void initialGuess(cern.colt.matrix.DoubleMatrix1D x,
                            cern.colt.matrix.DoubleMatrix1D e_r,
                            double r)

Called to generate an initial guess for the solution.

Parameters:

x - Initial guess

e_r - Returns

r - Return required for this iteration