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* Licensed to the Apache Software Foundation (ASF) under one or more
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* contributor license agreements. See the NOTICE file distributed with
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* this work for additional information regarding copyright ownership.
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* The ASF licenses this file to You under the Apache License, Version 2.0
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* (the "License"); you may not use this file except in compliance with
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* the License. You may obtain a copy of the License at
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* http://www.apache.org/licenses/LICENSE-2.0
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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package org.apache.commons.math.optimization.general;
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import org.apache.commons.math.FunctionEvaluationException;
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* This interface represents a preconditioner for differentiable scalar
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* objective function optimizers.
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* @version $Revision: 782468 $ $Date: 2009-06-07 17:24:18 -0400 (Sun, 07 Jun 2009) $
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public interface Preconditioner {
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* Precondition a search direction.
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* The returned preconditioned search direction must be computed fast or
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* the algorithm performances will drop drastically. A classical approach
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* is to compute only the diagonal elements of the hessian and to divide
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* the raw search direction by these elements if they are all positive.
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* If at least one of them is negative, it is safer to return a clone of
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* the raw search direction as if the hessian was the identity matrix. The
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* rationale for this simplified choice is that a negative diagonal element
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* means the current point is far from the optimum and preconditioning will
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* not be efficient anyway in this case.
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* @param point current point at which the search direction was computed
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* @param r raw search direction (i.e. opposite of the gradient)
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* @return approximation of H<sup>-1</sup>r where H is the objective function hessian
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* @exception FunctionEvaluationException if no cost can be computed for the parameters
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* @exception IllegalArgumentException if point dimension is wrong
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double[] precondition(double[] point, double[] r)
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throws FunctionEvaluationException, IllegalArgumentException;