org.apache.commons.math3.optimization.univariate

Class BrentOptimizer

java.lang.Object

org.apache.commons.math3.optimization.univariate.BaseAbstractUnivariateOptimizer

org.apache.commons.math3.optimization.univariate.BrentOptimizer

All Implemented Interfaces:

BaseOptimizer<UnivariatePointValuePair>, BaseUnivariateOptimizer<UnivariateFunction>, UnivariateOptimizer

public class BrentOptimizer
extends BaseAbstractUnivariateOptimizer

Implements Richard Brent's algorithm (from his book "Algorithms for Minimization without Derivatives", p. 79) for finding minima of real univariate functions. This implementation is an adaptation partly based on the Python code from SciPy (module "optimize.py" v0.5). If the function is defined on some interval (lo, hi), then this method finds an approximation x to the point at which the function attains its minimum.

Since:

2.0

Version:

$Id: BrentOptimizer.java 1244107 2012-02-14 16:17:55Z erans $

Constructor Summary

Constructors

Constructor and Description
BrentOptimizer(double rel, double abs) The arguments are used implement the original stopping criterion of Brent's algorithm.
BrentOptimizer(double rel, double abs, ConvergenceChecker<UnivariatePointValuePair> checker) The arguments are used implement the original stopping criterion of Brent's algorithm.

Method Summary

Methods

Modifier and Type	Method and Description
protected UnivariatePointValuePair	doOptimize() Method for implementing actual optimization algorithms in derived classes.

Methods inherited from class org.apache.commons.math3.optimization.univariate.BaseAbstractUnivariateOptimizer

computeObjectiveValue, getConvergenceChecker, getEvaluations, getGoalType, getMax, getMaxEvaluations, getMin, getStartValue, optimize, optimize

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

BrentOptimizer

public BrentOptimizer(double rel,
              double abs,
              ConvergenceChecker<UnivariatePointValuePair> checker)

The arguments are used implement the original stopping criterion of Brent's algorithm. abs and rel define a tolerance tol = rel |x| + abs. rel should be no smaller than 2 macheps and preferably not much less than sqrt(macheps), where macheps is the relative machine precision. abs must be positive.

Parameters:

rel - Relative threshold.

abs - Absolute threshold.

checker - Additional, user-defined, convergence checking procedure.

Throws:

NotStrictlyPositiveException - if abs <= 0.

NumberIsTooSmallException - if rel < 2 * Math.ulp(1d).

BrentOptimizer

public BrentOptimizer(double rel,
              double abs)

The arguments are used implement the original stopping criterion of Brent's algorithm. abs and rel define a tolerance tol = rel |x| + abs. rel should be no smaller than 2 macheps and preferably not much less than sqrt(macheps), where macheps is the relative machine precision. abs must be positive.

Parameters:

rel - Relative threshold.

abs - Absolute threshold.

Throws:

NotStrictlyPositiveException - if abs <= 0.

NumberIsTooSmallException - if rel < 2 * Math.ulp(1d).

Method Detail

doOptimize

protected UnivariatePointValuePair doOptimize()

Method for implementing actual optimization algorithms in derived classes.

Specified by:

doOptimize in class BaseAbstractUnivariateOptimizer

Returns:

the optimum and its corresponding function value.