Example usage for org.apache.commons.math.optimization MultivariateRealOptimizer optimize

Introduction

In this page you can find the example usage for org.apache.commons.math.optimization MultivariateRealOptimizer optimize.

Prototype

RealPointValuePair optimize(MultivariateRealFunction f, GoalType goalType, double[] startPoint)
        throws FunctionEvaluationException, OptimizationException, IllegalArgumentException;

Source Link

Document

Optimizes an objective function.

Usage

From source file:com.opengamma.analytics.math.minimization.MultiDirectionalSimplexMinimizer.java

/**
 * {@inheritDoc}/*  w w  w. ja  v a 2  s  . c o m*/
 */
@Override
public DoubleMatrix1D minimize(final Function1D<DoubleMatrix1D, Double> f, final DoubleMatrix1D initialPoint) {
    Validate.notNull(f, "function");
    Validate.notNull(initialPoint, "initial point");
    final MultivariateRealOptimizer optimizer = new MultiDirectional();
    final MultivariateRealFunction commons = CommonsMathWrapper.wrapMultivariate(f);
    try {
        return new DoubleMatrix1D(
                CommonsMathWrapper.unwrap(optimizer.optimize(commons, MINIMIZER, initialPoint.getData())));
    } catch (final ConvergenceException e) {
        throw new MathException(e);
    } catch (final FunctionEvaluationException e) {
        throw new MathException(e);
    }
}

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From source file:com.opengamma.analytics.math.minimization.NelderMeadDownhillSimplexMinimizer.java

/**
 * {@inheritDoc}//from w w  w.  jav  a  2s  .  c  om
 */
@Override
public DoubleMatrix1D minimize(final Function1D<DoubleMatrix1D, Double> function,
        final DoubleMatrix1D startPosition) {
    Validate.notNull(function, "function");
    Validate.notNull(startPosition, "start position");
    final MultivariateRealOptimizer optimizer = new NelderMead();
    final MultivariateRealFunction commonsFunction = CommonsMathWrapper.wrapMultivariate(function);
    try {
        return new DoubleMatrix1D(CommonsMathWrapper
                .unwrap(optimizer.optimize(commonsFunction, MINIMIZER, startPosition.getData())));
    } catch (final ConvergenceException e) {
        throw new MathException(e);
    } catch (final FunctionEvaluationException e) {
        throw new MathException(e);
    }
}

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From source file:ch.algotrader.simulation.SimulationExecutorImpl.java

/**
 * {@inheritDoc}/* w  w w  . j a  va2s.c o m*/
 */
@Override
public void optimizeMultiParam(final StrategyGroup strategyGroup, final String[] parameters,
        final double[] starts) {

    Validate.notNull(parameters, "Parameter is null");
    Validate.notNull(starts, "Starts is null");

    RealPointValuePair result;
    try {
        MultivariateRealFunction function = new MultivariateFunction(this, strategyGroup, parameters);
        MultivariateRealOptimizer optimizer = new MultiDirectional();
        optimizer.setConvergenceChecker(new SimpleScalarValueChecker(0.0, 0.01));
        result = optimizer.optimize(function, GoalType.MAXIMIZE, starts);
        if (RESULT_LOGGER.isInfoEnabled()) {
            for (int i = 0; i < result.getPoint().length; i++) {
                RESULT_LOGGER.info("optimal value for {}={}", parameters[i],
                        format.format(result.getPoint()[i]));
            }
            RESULT_LOGGER.info("functionValue: {} needed iterations: {})", format.format(result.getValue()),
                    optimizer.getEvaluations());
        }
    } catch (MathException ex) {
        throw new SimulationExecutorException(ex);
    }
}

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