BroydenMatrixUpdateFunction.java

/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.math.impl.rootfinding.newton;

import static com.opengamma.strata.math.impl.matrix.MatrixAlgebraFactory.OG_ALGEBRA;

import java.util.function.Function;

import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.array.DoubleArray;
import com.opengamma.strata.collect.array.DoubleMatrix;
import com.opengamma.strata.collect.array.Matrix;

/**
 *
 */
public class BroydenMatrixUpdateFunction implements NewtonRootFinderMatrixUpdateFunction {

  @Override
  public DoubleMatrix getUpdatedMatrix(
      Function<DoubleArray, DoubleMatrix> j, DoubleArray x,
      DoubleArray deltaX,
      DoubleArray deltaY,
      DoubleMatrix matrix) {

    ArgChecker.notNull(deltaX, "deltaX");
    ArgChecker.notNull(deltaY, "deltaY");
    ArgChecker.notNull(matrix, "matrix");
    double length2 = OG_ALGEBRA.getInnerProduct(deltaX, deltaX);
    if (length2 == 0.0) {
      return matrix;
    }
    Matrix temp = OG_ALGEBRA.subtract(deltaY, OG_ALGEBRA.multiply(matrix, deltaX));
    temp = OG_ALGEBRA.scale(temp, 1.0 / length2);
    return (DoubleMatrix) OG_ALGEBRA.add(matrix, OG_ALGEBRA.getOuterProduct(temp, deltaX));
  }

}