/**
* 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.matrix.DoubleMatrix1D;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.matrix.MatrixAlgebra;
/**
*
*/
public class ShermanMorrisonMatrixUpdateFunction implements NewtonRootFinderMatrixUpdateFunction {
private final MatrixAlgebra _algebra;
public ShermanMorrisonMatrixUpdateFunction(final MatrixAlgebra algebra) {
Validate.notNull(algebra);
_algebra = algebra;
}
@Override
public DoubleMatrix2D getUpdatedMatrix(final Function1D<DoubleMatrix1D, DoubleMatrix2D> g, DoubleMatrix1D x, final DoubleMatrix1D deltaX, final DoubleMatrix1D deltaY, final DoubleMatrix2D matrix) {
Validate.notNull(deltaX);
Validate.notNull(deltaY);
Validate.notNull(matrix);
DoubleMatrix1D v1 = (DoubleMatrix1D) _algebra.multiply(deltaX, matrix);
final double length = _algebra.getInnerProduct(v1, deltaY);
if (length == 0) {
return matrix;
}
v1 = (DoubleMatrix1D) _algebra.scale(v1, 1. / length);
final DoubleMatrix1D v2 = (DoubleMatrix1D) _algebra.subtract(deltaX, _algebra.multiply(matrix, deltaY));
final DoubleMatrix2D m = _algebra.getOuterProduct(v2, v1);
return (DoubleMatrix2D) _algebra.add(matrix, m);
}
}