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java.lang.Objectch.epfl.lis.sde.solver.SdeSolver
public abstract class SdeSolver
This class serves as basis for the implementation of a SDE solver.
Constructor Summary | |
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SdeSolver()
Default constructor |
Method Summary | |
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abstract void |
advance(double t,
double h,
cern.colt.matrix.DoubleMatrix1D dW,
cern.colt.matrix.DoubleMatrix1D dZ,
cern.colt.matrix.DoubleMatrix1D Xin,
cern.colt.matrix.DoubleMatrix1D Xout)
Proceed on iteration of the numerical integration (step size = h) |
void |
checkConvergence(cern.colt.matrix.DoubleMatrix1D X)
This function checks the convergence of the system. |
void |
checkX(cern.colt.matrix.DoubleMatrix1D X)
This function can be overwrite if a check as to be performed on X at every step() |
boolean |
converged()
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void |
generateW()
At each step(), W must be regenerated. |
void |
generateWienerIncrements(int n,
cern.colt.matrix.DoubleMatrix1D dW,
cern.colt.matrix.DoubleMatrix1D dZ)
For Euler and Milstein method, on dW is required. |
void |
generateWZ()
At each step(), regenerate W and Z (Z are useful for Runge-Kutta of strong order >= 1.5). |
double |
getAbsolutePrecision()
|
java.lang.String |
getDescription()
Returns the description of this solver. |
double |
getH()
|
double |
getRelativePrecision()
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Sde |
getSystem()
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cern.colt.matrix.DoubleMatrix1D |
getX()
|
void |
init()
Must be call after the SDE parameterized and associated to this solver. |
cern.colt.matrix.DoubleMatrix1D |
integrate()
Little function to integrate a SDE. |
void |
reset()
Cleanup the solver |
void |
setAbsolutePrecision(double value)
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void |
setH(double H)
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void |
setRelativePrecision(double value)
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void |
setSystem(Sde sde)
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void |
setX(cern.colt.matrix.DoubleMatrix1D X)
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double |
step()
Step the integration from the current time t1 to t1+H_, return H_. |
Methods inherited from class java.lang.Object |
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equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait |
Constructor Detail |
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public SdeSolver()
Method Detail |
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public abstract void advance(double t, double h, cern.colt.matrix.DoubleMatrix1D dW, cern.colt.matrix.DoubleMatrix1D dZ, cern.colt.matrix.DoubleMatrix1D Xin, cern.colt.matrix.DoubleMatrix1D Xout) throws java.lang.Exception
java.lang.Exception
public void reset()
public void generateW()
public void generateWZ()
public void init()
public double step() throws java.lang.Exception
java.lang.Exception
public void generateWienerIncrements(int n, cern.colt.matrix.DoubleMatrix1D dW, cern.colt.matrix.DoubleMatrix1D dZ)
public void checkX(cern.colt.matrix.DoubleMatrix1D X)
public void checkConvergence(cern.colt.matrix.DoubleMatrix1D X)
public java.lang.String getDescription()
public cern.colt.matrix.DoubleMatrix1D integrate() throws java.lang.Exception
java.lang.Exception
public void setSystem(Sde sde)
public Sde getSystem()
public void setX(cern.colt.matrix.DoubleMatrix1D X)
public cern.colt.matrix.DoubleMatrix1D getX()
public void setH(double H)
public double getH()
public void setAbsolutePrecision(double value)
public double getAbsolutePrecision()
public void setRelativePrecision(double value)
public double getRelativePrecision()
public boolean converged()
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