org.apache.commons.math.optimization.univariate
Class BrentOptimizer

java.lang.Object
  org.apache.commons.math.optimization.univariate.AbstractUnivariateRealOptimizer
      org.apache.commons.math.optimization.univariate.BrentOptimizer

All Implemented Interfaces:

BaseOptimizer<UnivariateRealPointValuePair>, BaseUnivariateRealOptimizer<UnivariateRealFunction>, UnivariateRealOptimizer

public class BrentOptimizer
extends AbstractUnivariateRealOptimizer

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.
The user is responsible for calling ConvergenceChecker prior to using the optimizer.

Since:

2.0

Version:

$Id: BrentOptimizer.java 1181282 2011-10-10 22:35:54Z erans $

Constructor Summary

BrentOptimizer(double rel, double abs)
The arguments are used implement the original stopping criterion of Brent's algorithm.

Method Summary

protected UnivariateRealPointValuePair

doOptimize() Method for implementing actual optimization algorithms in derived classes.

Methods inherited from class org.apache.commons.math.optimization.univariate.AbstractUnivariateRealOptimizer

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

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)

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 UnivariateRealPointValuePair doOptimize()

Method for implementing actual optimization algorithms in derived classes.

Specified by:

doOptimize in class AbstractUnivariateRealOptimizer

Returns:

the optimum and its corresponding function value.