org.akutan.optimization
Class ReturnSolver

java.lang.Object
  extended by org.akutan.optimization.ActiveSetSolver
      extended by 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