summaryrefslogtreecommitdiff
path: root/src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java
diff options
context:
space:
mode:
Diffstat (limited to 'src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java')
-rw-r--r--src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java52
1 files changed, 52 insertions, 0 deletions
diff --git a/src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java b/src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java
new file mode 100644
index 0000000..7bdde75
--- /dev/null
+++ b/src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java
@@ -0,0 +1,52 @@
+/*
+ * Licensed to the Apache Software Foundation (ASF) under one or more
+ * contributor license agreements. See the NOTICE file distributed with
+ * this work for additional information regarding copyright ownership.
+ * The ASF licenses this file to You under the Apache License, Version 2.0
+ * (the "License"); you may not use this file except in compliance with
+ * the License. You may obtain a copy of the License at
+ *
+ * http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ */
+
+package org.apache.commons.math.optimization.general;
+
+import org.apache.commons.math.FunctionEvaluationException;
+
+/**
+ * This interface represents a preconditioner for differentiable scalar
+ * objective function optimizers.
+ * @version $Revision: 1073158 $ $Date: 2011-02-21 22:46:52 +0100 (lun. 21 févr. 2011) $
+ * @since 2.0
+ */
+public interface Preconditioner {
+
+ /**
+ * Precondition a search direction.
+ * <p>
+ * The returned preconditioned search direction must be computed fast or
+ * the algorithm performances will drop drastically. A classical approach
+ * is to compute only the diagonal elements of the hessian and to divide
+ * the raw search direction by these elements if they are all positive.
+ * If at least one of them is negative, it is safer to return a clone of
+ * the raw search direction as if the hessian was the identity matrix. The
+ * rationale for this simplified choice is that a negative diagonal element
+ * means the current point is far from the optimum and preconditioning will
+ * not be efficient anyway in this case.
+ * </p>
+ * @param point current point at which the search direction was computed
+ * @param r raw search direction (i.e. opposite of the gradient)
+ * @return approximation of H<sup>-1</sup>r where H is the objective function hessian
+ * @exception FunctionEvaluationException if no cost can be computed for the parameters
+ * @exception IllegalArgumentException if point dimension is wrong
+ */
+ double[] precondition(double[] point, double[] r)
+ throws FunctionEvaluationException, IllegalArgumentException;
+
+}