linesearch.java

蒙特卡罗算法

package com.tdunning.nr;

import com.tdunning.math.RealFunction;
import Jama.Matrix;

/**
 * Encodes a line-search operation on a single function.
 * @author Ted Dunning
 * Based loosely on the Numerical Recipes function called linsrch defined in section 9.7 of the 2nd Edition.
 */
public class LineSearch {
    private static final double ALF = 1.0e-4; // Ensures sufficient decrease in function value.
    private static final double TOLX = 1.0e-7; // Convergence criterion on ?x.
    private double stpmax;
    private RealFunction func;
    private Matrix x;
    private double f;

    /**
     * Set up to do line minimizations for a function.
     *
     * @param stpmax limits the length of the steps so that you do not try to
     * evaluate the function in regions where it is undefined or subject to overflow.
     * @param func   The function to minimize.
     */
    public LineSearch(double stpmax, RealFunction func) {
        this.stpmax = stpmax;
        this.func = func;
    }

    /**
     * Given an n-dimensional point xold[1..n], the value of the function and gradient there, fold
     * and g[1..n], and a direction p[1..n], finds a new point x[1..n] along the direction p from
     * xold where the function func has decreased 搒ufficiently.