/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.math.rootfinding.newton;
import com.opengamma.analytics.math.linearalgebra.Decomposition;
import com.opengamma.analytics.math.linearalgebra.LUDecompositionCommons;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
import com.opengamma.analytics.math.matrix.OGMatrixAlgebra;
/**
* Uses the Sherman-Morrison formula to invert Broyden's Jacobian update formula, thus providing a direct update formula for the inverse Jacobian
*/
public class ShermanMorrisonVectorRootFinder extends NewtonVectorRootFinder {
private static final double DEF_TOL = 1e-7;
private static final int MAX_STEPS = 100;
public ShermanMorrisonVectorRootFinder() {
this(DEF_TOL, DEF_TOL, MAX_STEPS);
}
public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps) {
this(absoluteTol, relativeTol, maxSteps, new LUDecompositionCommons());
}
public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps, final Decomposition<?> decomp) {
this(absoluteTol, relativeTol, maxSteps, decomp, new OGMatrixAlgebra());
}
public ShermanMorrisonVectorRootFinder(final double absoluteTol, final double relativeTol, final int maxSteps, final Decomposition<?> decomp, MatrixAlgebra algebra) {
super(absoluteTol, relativeTol, maxSteps, new InverseJacobianDirectionFunction(algebra), new InverseJacobianEstimateInitializationFunction(decomp),
new ShermanMorrisonMatrixUpdateFunction(algebra));
}
}