/**
* 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 org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.function.Function1D;
import com.opengamma.analytics.math.linearalgebra.Decomposition;
import com.opengamma.analytics.math.linearalgebra.DecompositionResult;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.DoubleMatrixUtils;
/**
*
*/
public class InverseJacobianEstimateInitializationFunction implements NewtonRootFinderMatrixInitializationFunction {
private final Decomposition<?> _decomposition;
public InverseJacobianEstimateInitializationFunction(final Decomposition<?> decomposition) {
Validate.notNull(decomposition);
_decomposition = decomposition;
}
@Override
public DoubleMatrix2D getInitializedMatrix(final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianFunction, final DoubleMatrix1D x) {
Validate.notNull(jacobianFunction);
Validate.notNull(x);
final DoubleMatrix2D estimate = jacobianFunction.evaluate(x);
final DecompositionResult decompositionResult = _decomposition.evaluate(estimate);
return decompositionResult.solve(DoubleMatrixUtils.getIdentityMatrix2D(x.getNumberOfElements()));
}
}