Examples with Dbl_Dbl primal.primitive.Dbl_Dbl used on opensource projects

Example 1 with Dbl_Dbl

use of primal.primitive.Dbl_Dbl in project suite by stupidsing.

the class Bfgs method lineSearch.

private double lineSearch(Dbl_Dbl phi, Dbl_Dbl phiGradient, double alphax) {
    var c1 = .0001d;
    var c2 = .1d;
    var alpha0 = 0d;
    var v0 = phi.apply(alpha0);
    var g0 = phiGradient.apply(alpha0);
    // TODO
    DblDbl_Dbl interpolate = (a0, a1) -> (a0 + a1) * .5d;
    // TODO
    DblDbl_Dbl choose = (a0, a1) -> (a0 + a1) * .5d;
    DblDbl_Dbl zoom = (alphaLo, alphaHi) -> {
        for (var iter = 0; iter < 16; iter++) {
            var alpha = interpolate.apply(alphaLo, alphaHi);
            var v = phi.apply(alpha);
            double g;
            if (v0 + c1 * alpha * g0 < v || phi.apply(alphaLo) <= v)
                alphaHi = alpha;
            else if (abs(g = phiGradient.apply(alpha)) <= -c2 * g0)
                return alpha;
            else {
                if (0d <= g * (alphaHi - alphaLo))
                    alphaHi = alphaLo;
                alphaLo = alpha;
            }
        }
        return alphaLo;
    };
    var alphap = alpha0;
    var vp = v0;
    var alpha = choose.apply(alphap, alphax);
    for (var iter = 0; iter < 16; iter++) {
        var v = phi.apply(alpha);
        if (v0 + c1 * alpha * g0 < v || 0 < iter && vp <= v)
            return zoom.apply(alphap, alpha);
        var g = phiGradient.apply(alpha);
        if (abs(g) <= -c2 * g0)
            break;
        else if (0d <= g)
            return zoom.apply(alpha, alphap);
        else {
            alphap = alpha;
            vp = v;
            alpha = choose.apply(alpha, alphax);
        }
    }
    return alpha;
}

Example 2 with Dbl_Dbl

use of primal.primitive.Dbl_Dbl in project suite by stupidsing.

the class Trade_ method dividend.

public static float dividend(Streamlet<Trade> trades, Fun<String, LngFltPair[]> fun, Dbl_Dbl feeFun) {
    var sum = 0f;
    for (var pair : Read.fromMultimap(trades.toMultimap(trade -> trade.symbol))) {
        var dividends = fun.apply(pair.k);
        var puller = Puller.of(pair.v);
        LngIntPair tn = LngIntPair.of(0l, 0);
        Source<LngIntPair> tradeSource = () -> {
            var trade = puller.pull();
            var t = trade != null ? Time.of(trade.date + " 12:00:00").epochSec(8) : Long.MAX_VALUE;
            return LngIntPair.of(t, tn.t1 + (trade != null ? trade.buySell : 0));
        };
        var tn1 = tradeSource.g();
        for (var dividend : dividends) {
            while (tn1 != null && tn1.t0 < dividend.t0) {
                tn.update(tn1.t0, tn1.t1);
                tn1 = tradeSource.g();
            }
            var amount = tn.t1 * dividend.t1;
            sum += amount - feeFun.apply(amount);
        }
    }
    return sum;
}