Examples of com.opengamma.analytics.math.differentiation.ScalarFieldFirstOrderDifferentiator

Package com.opengamma.analytics.math.differentiation

Examples of com.opengamma.analytics.math.differentiation.ScalarFieldFirstOrderDifferentiator

com.opengamma.analytics.math.differentiation.ScalarFieldFirstOrderDifferentiator
Differentiates a scalar field (i.e. there is a scalar value for every point in some vector space) with respect to the vector space using finite difference.
For a function $y = f(\mathbf{x})$ where $\mathbf{x}$ is a n-dimensional vector and $y$ is a scalar, this class produces a gradient function $\mathbf{g}(\mathbf{x})$, i.e. a function that returns the gradient for each point $\mathbf{x}$, where $\mathbf{g}$ is the n-dimensional vector $\frac{dy}{dx_i}$.

   */
  @Override
  public DoubleMatrix1D minimize(final Function1D<DoubleMatrix1D, Double> function, final DoubleMatrix1D startPosition) {
    Validate.notNull(function, "function");
    Validate.notNull(startPosition, "start position");
    final ScalarFieldFirstOrderDifferentiator diff = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad = diff.differentiate(function);
    return minimize(function, grad, startPosition);
  }

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        }
        return ird.accept(valueCalculator, curves);
      }
    };


    final ScalarFieldFirstOrderDifferentiator fd = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad = fd.differentiate(f);


    return grad.evaluate(new DoubleMatrix1D(yields));


  }

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        }
        return ird.accept(valueCalculator, curves);
      }
    };


    final ScalarFieldFirstOrderDifferentiator fd = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad = fd.differentiate(f);
    return grad.evaluate(new DoubleMatrix1D(param));
  }

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        }
        return ird.accept(valueCalculator, curves);
      }
    };


    final ScalarFieldFirstOrderDifferentiator fd = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad = fd.differentiate(f);


    return grad.evaluate(new DoubleMatrix1D(yields));


  }

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        }
        return ird.accept(valueCalculator, curves);
      }
    };


    final ScalarFieldFirstOrderDifferentiator fd = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> grad = fd.differentiate(f);
    return grad.evaluate(new DoubleMatrix1D(df));
  }

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    final ScalarFirstOrderDifferentiator diff = new ScalarFirstOrderDifferentiator();
    final Function1D<Double, Double> grad = diff.differentiate(func);
    assertEquals(-0.5, grad.evaluate(0.0), 1e-8);


    final Function1D<DoubleMatrix1D, Double> params_func = VECTOR_PARAMS.asFunctionOfParameters(1.0);
    final ScalarFieldFirstOrderDifferentiator vdiff = new ScalarFieldFirstOrderDifferentiator();
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> vgrad = vdiff.differentiate(params_func);
    final DoubleMatrix1D res = vgrad.evaluate(new DoubleMatrix1D(new double[] {Math.PI, 0}));
    assertEquals(0.0, res.getEntry(0), 1e-8);
    assertEquals(Math.PI, res.getEntry(1), 1e-8);
  }

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com.opengamma.analytics.math.matrix.DoubleMatrix1D

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