cpqfunctionvec {ConConPiWiFun} R Documentation

## This class implements "optimized list" of continuous convex piecewise quadratic functions

### Description

This is a wrapper to stl vector of convex piecewise quadratic functions. Allows to loop efficiently on such list.

### Author(s)

Robin Girard

to See Also as cpqfunction, cplfunctionvec

### Examples

CCPWLfuncList=new(cpqfunctionvec)
CCPWLfuncList$push_back(new(cpqfunction,c(0),c(1),c(-2, 2),0)) CCPWLfuncList$push_back(new(cpqfunction,c(0),c(1),c(-2, 2),0))

CCPWLfuncList=new(cpqfunctionvec)
n=1000; Y=rnorm(n); S0=array(0,n)+Y;S1=array(1,n)+Y; B0=array(-Inf,n); B1=array(Inf,n);
for (i in 1:n){
CCPWLfuncList$push_back(new(cpqfunction,S0[i],S1[i] ,c(B0[i],B1[i]),0)) } CCPWLfuncList$size() ## gives the size
## The same but faster
CCPWLfuncList=new(cpqfunctionvec)
CCPWLfuncList$SerialPush_0Breaks_Functions(S0,S1); #### method OptimMargInt solves # min_x sum_i=1^n C_i(x_i) # Pmoins_i<= x_i <=Pplus_i i=1,...,n # Cmoins_i<= sum_j=1^i x_j <=Cplus_i i=1,...,n Pmoins=array(-1,n);Pplus=array(1,n);Cmoins=array(0,n);Cplus=array(5,n); res=CCPWLfuncList$OptimMargInt(Pmoins,Pplus,Cmoins,Cplus)

par(mfrow=c(1,2))
plot(Y,type='l')
lines(y=Pmoins,x=1:n,col='blue'); lines(y=Pplus,x=1:n,col='blue');
lines(y=res$xEtoile,x=1:n,col='red') text(x=800,y=3,paste("Optimum=",signif(sum(abs(res$xEtoile-Y)),digits=6)))
plot(Y,type='l',ylim=c(min(Y),max(diffinv(res$xEtoile)[1:n+1]))) lines(y=Cmoins,x=1:n,col='blue'); lines(y=Cplus,x=1:n,col='blue'); lines(y=diffinv(res$xEtoile)[1:n+1],x=1:n,col='red')

rm(list=ls())
gc()



[Package ConConPiWiFun version 0.4.6.1 Index]