src/main/java/org/apache/commons/math/optimization/general/Preconditioner.java

/*
 * 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
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 */

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;

}