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

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Here is the source code for com.opengamma.analytics.math.minimization.LineSearch.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 static com.opengamma.analytics.math.matrix.MatrixAlgebraFactory.OG_ALGEBRA;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;

/**
 * 
 */
public class LineSearch {
    private final ScalarMinimizer _minimizer;
    private final MinimumBracketer _bracketer;

    public LineSearch(final ScalarMinimizer minimizer) {
        Validate.notNull(minimizer, "null minimizer");
        _minimizer = minimizer;
        _bracketer = new ParabolicMinimumBracketer();
    }

    public double minimise(final Function1D<DoubleMatrix1D, Double> function, final DoubleMatrix1D direction,
            final DoubleMatrix1D x) {
        Validate.notNull(function, "function");
        Validate.notNull(direction, "direction");
        Validate.notNull(x, "x");
        final LineSearchFunction f = new LineSearchFunction(function, direction, x);

        final double[] bracketPoints = _bracketer.getBracketedPoints(f, 0, 1);
        if (bracketPoints[2] < bracketPoints[0]) {
            final double temp = bracketPoints[0];
            bracketPoints[0] = bracketPoints[2];
            bracketPoints[2] = temp;
        }
        return _minimizer.minimize(f, bracketPoints[1], bracketPoints[0], bracketPoints[2]);
    }

    private static class LineSearchFunction extends Function1D<Double, Double> {
        private final Function1D<DoubleMatrix1D, Double> _f;
        private final DoubleMatrix1D _p;
        private final DoubleMatrix1D _x0;

        public LineSearchFunction(final Function1D<DoubleMatrix1D, Double> function, final DoubleMatrix1D direction,
                final DoubleMatrix1D x) {
            _f = function;
            _p = direction;
            _x0 = x;
        }

        @Override
        public Double evaluate(final Double lambda) {
            final DoubleMatrix1D x = (DoubleMatrix1D) OG_ALGEBRA.add(_x0, OG_ALGEBRA.scale(_p, lambda));
            return _f.evaluate(x);
        }

    }
}