com.opengamma.analytics.math.minimization.BrentMinimizer1D.java Source code

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Here is the source code for com.opengamma.analytics.math.minimization.BrentMinimizer1D.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.math.minimization;

import org.apache.commons.lang.Validate;
import org.apache.commons.math.FunctionEvaluationException;
import org.apache.commons.math.analysis.UnivariateRealFunction;
import org.apache.commons.math.optimization.GoalType;
import org.apache.commons.math.optimization.univariate.AbstractUnivariateRealOptimizer;
import org.apache.commons.math.optimization.univariate.BrentOptimizer;

import com.opengamma.analytics.math.MathException;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.util.wrapper.CommonsMathWrapper;

/**
 * This class is a wrapper for the <a href="http://commons.apache.org/math/api-2.1/org/apache/commons/math/optimization/univariate/BrentOptimizer.html">Commons Math library implementation</a>
 * of Brent minimization.
 */
public class BrentMinimizer1D implements ScalarMinimizer {
    //TODO this class doesn't work properly - e.g. if the curve is flat, the bounded method returns one of the bounds and the unbounded method shoots off to +/-infinity
    private static final GoalType MINIMIZE = GoalType.MINIMIZE;
    private static final AbstractUnivariateRealOptimizer OPTIMIZER = new BrentOptimizer();

    /**
     * {@inheritDoc}
     */
    @Override
    public double minimize(final Function1D<Double, Double> function, final double startPosition,
            final double lowerBound, final double upperBound) {
        Validate.notNull(function, "function");
        final UnivariateRealFunction commonsFunction = CommonsMathWrapper.wrapUnivariate(function);
        try {
            return OPTIMIZER.optimize(commonsFunction, MINIMIZE, lowerBound, upperBound, startPosition);
        } catch (final FunctionEvaluationException e) {
            throw new MathException(e);
        } catch (final org.apache.commons.math.ConvergenceException e) {
            throw new MathException(e);
        }
    }

    /**
     * {@inheritDoc}
     */
    @Override
    public Double minimize(final Function1D<Double, Double> function, final Double startPosition) {
        Validate.notNull(function, "function");
        final UnivariateRealFunction commonsFunction = CommonsMathWrapper.wrapUnivariate(function);
        try {
            return OPTIMIZER.optimize(commonsFunction, MINIMIZE, -Double.MAX_VALUE, Double.MAX_VALUE,
                    startPosition);
        } catch (final FunctionEvaluationException e) {
            throw new MathException(e);
        } catch (final org.apache.commons.math.ConvergenceException e) {
            throw new MathException(e);
        }
    }
}