Examples with Primitive64Array org.ojalgo.array.Primitive64Array used on opensource projects

Example 1 with Primitive64Array

use of org.ojalgo.array.Primitive64Array in project ojAlgo-finance by optimatika.

the class PortfolioSimulator method simulate.

RandomProcess.SimulationResults simulate(final int aNumberOfRealisations, final int aNumberOfSteps, final double aStepSize, final Integer rebalancingInterval) {
    final int tmpProcDim = myProcess.size();
    final Primitive64Array tmpInitialValues = myProcess.getValues();
    final Number[] tmpValues = new Number[tmpProcDim];
    for (int p = 0; p < tmpProcDim; p++) {
        tmpValues[p] = tmpInitialValues.get(p);
    }
    final List<BigDecimal> tmpWeights = new SimplePortfolio(tmpValues).normalise().getWeights();
    final Array2D<Double> tmpRealisationValues = Array2D.PRIMITIVE64.makeZero(aNumberOfRealisations, aNumberOfSteps);
    for (int r = 0; r < aNumberOfRealisations; r++) {
        for (int s = 0; s < aNumberOfSteps; s++) {
            if ((rebalancingInterval != null) && (s != 0) && ((s % rebalancingInterval) == 0)) {
                final double tmpPortfolioValue = tmpRealisationValues.doubleValue(r, s - 1);
                for (int p = 0; p < tmpProcDim; p++) {
                    myProcess.setValue(p, tmpPortfolioValue * tmpWeights.get(p).doubleValue());
                }
            }
            final Array1D<Double> tmpRealisation = myProcess.step(aStepSize);
            final AggregatorFunction<Double> tmpAggregator = Aggregator.SUM.getFunction(PrimitiveAggregator.getSet());
            tmpRealisation.visitAll(tmpAggregator);
            tmpRealisationValues.set(r, s, tmpAggregator.doubleValue());
        }
        myProcess.setValues(tmpInitialValues);
    }
    final AggregatorFunction<Double> tmpAggregator = Aggregator.SUM.getFunction(PrimitiveAggregator.getSet());
    for (int i = 0; i < tmpInitialValues.count(); i++) {
        tmpAggregator.invoke(tmpInitialValues.doubleValue(i));
    }
    return new RandomProcess.SimulationResults(tmpAggregator.doubleValue(), tmpRealisationValues);
}

Example 2 with Primitive64Array

use of org.ojalgo.array.Primitive64Array in project ojAlgo by optimatika.

the class PrimitiveDenseStore method applyLU.

public void applyLU(final int iterationPoint, final BasicArray<Double> multipliers) {
    final double[] tmpData = data;
    final double[] tmpColumn = ((Primitive64Array) multipliers).data;
    if ((myColDim - iterationPoint - 1) > ApplyLU.THRESHOLD) {
        final DivideAndConquer tmpConquerer = new DivideAndConquer() {

            @Override
            protected void conquer(final int first, final int limit) {
                ApplyLU.invoke(tmpData, myRowDim, first, limit, tmpColumn, iterationPoint);
            }
        };
        tmpConquerer.invoke(iterationPoint + 1, myColDim, ApplyLU.THRESHOLD);
    } else {
        ApplyLU.invoke(tmpData, myRowDim, iterationPoint + 1, myColDim, tmpColumn, iterationPoint);
    }
}

Example 3 with Primitive64Array

use of org.ojalgo.array.Primitive64Array in project ojAlgo by optimatika.

the class PrimitiveDenseStore method applyLDL.

public void applyLDL(final int iterationPoint, final BasicArray<Double> multipliers) {
    final double[] tmpData = data;
    final double[] tmpColumn = ((Primitive64Array) multipliers).data;
    if ((myColDim - iterationPoint - 1) > ApplyLDL.THRESHOLD) {
        final DivideAndConquer tmpConquerer = new DivideAndConquer() {

            @Override
            protected void conquer(final int first, final int limit) {
                ApplyLDL.invoke(tmpData, myRowDim, first, limit, tmpColumn, iterationPoint);
            }
        };
        tmpConquerer.invoke(iterationPoint + 1, myColDim, ApplyLDL.THRESHOLD);
    } else {
        ApplyLDL.invoke(tmpData, myRowDim, iterationPoint + 1, myColDim, tmpColumn, iterationPoint);
    }
}

Example 4 with Primitive64Array

use of org.ojalgo.array.Primitive64Array in project ojAlgo by optimatika.

the class SampleSet method make.

public static SampleSet make(final RandomNumber randomNumber, final int size) {
    final Primitive64Array retVal = Primitive64Array.make(size);
    final double[] tmpData = retVal.data;
    for (int i = 0; i < size; i++) {
        tmpData[i] = randomNumber.doubleValue();
    }
    return new SampleSet(retVal);
}

Example 5 with Primitive64Array

use of org.ojalgo.array.Primitive64Array in project ojAlgo by optimatika.

the class ConvexProblems method testP20150809.

/**
 * Issue reported at GitHub. A set of problems related to when Q is zero - a linear problem. Generally the
 * ConvexSolver is not the right option to handle linear problems, but there is some desireable behaviour.
 */
@Test
public void testP20150809() {
    final NumberContext precision = new NumberContext(11, 14, RoundingMode.HALF_EVEN);
    final Primitive64Array tmpExpectedSolution = Primitive64Array.wrap(new double[] { 0.12, -0.05, 0.08, 0.07 });
    final Primitive64Array tmpBoundedSolution = Primitive64Array.wrap(new double[] { 99999, -99999, 99999, 99999 });
    ConvexSolver tmpSolver = P20150809.buildModel(true, false);
    Result tmpResult = tmpSolver.solve();
    TestUtils.assertStateNotLessThanOptimal(tmpResult);
    TestUtils.assertEquals(tmpExpectedSolution, tmpResult, precision);
    tmpSolver = P20150809.buildModel(true, true);
    tmpResult = tmpSolver.solve();
    TestUtils.assertStateNotLessThanOptimal(tmpResult);
    TestUtils.assertEquals(tmpExpectedSolution, tmpResult, precision);
    tmpSolver = P20150809.buildModel(false, false);
    tmpResult = tmpSolver.solve();
    TestUtils.assertEquals(Optimisation.State.UNBOUNDED, tmpResult.getState());
    tmpSolver = P20150809.buildModel(false, true);
    tmpResult = tmpSolver.solve();
    // Since it is now constrained, the solver should be able find the optimal solution.
    TestUtils.assertStateNotLessThanOptimal(tmpResult);
    TestUtils.assertEquals(tmpBoundedSolution, tmpResult, precision);
}