org.apache.commons.math3.optim.univariate
Class BrentOptimizer

java.lang.Object
  org.apache.commons.math3.optim.BaseOptimizer<UnivariatePointValuePair>
      org.apache.commons.math3.optim.univariate.UnivariateOptimizer
          org.apache.commons.math3.optim.univariate.BrentOptimizer

public class BrentOptimizer
extends UnivariateOptimizer

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

• to use an initial guess provided by the user,
• to ensure that the best point encountered is the one returned.

Since:

2.0

Version:

$Id: BrentOptimizer.java 7721 2013-02-14 14:07:13Z CardosoP $

Field Summary

Fields inherited from class org.apache.commons.math3.optim.BaseOptimizer

evaluations, iterations

Constructor Summary

BrentOptimizer(double rel, double abs)
The arguments are used for implementing 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

protected UnivariatePointValuePair

doOptimize() Performs the bulk of the optimization algorithm.

Methods inherited from class org.apache.commons.math3.optim.univariate.UnivariateOptimizer

computeObjectiveValue, getGoalType, getMax, getMin, getStartValue, optimize

Methods inherited from class org.apache.commons.math3.optim.BaseOptimizer

getConvergenceChecker, getEvaluations, getIterations, getMaxEvaluations, getMaxIterations, incrementEvaluationCount, incrementIterationCount

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 for implementing 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()

Performs the bulk of the optimization algorithm.

Specified by:

doOptimize in class BaseOptimizer<UnivariatePointValuePair>

Returns:

the point/value pair giving the optimal value of the objective function.