StochasticCollocationInvCDF

Stochastic collocation inverse cumulative distribution function

References: L.A. Grzelak, J.A.S. Witteveen, M.Suárez-Taboada, C.W. Oosterlee, The Stochastic Collocation Monte Carlo Sampler: Highly efficient sampling from “expensive” distributions http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2529691

Hierarchy

StochasticCollocationInvCDF

Implements

UnaryFunction<Real, Real>

Index

Constructors

constructor

Properties

Methods

f
value

Constructors

constructor

new StochasticCollocationInvCDF(invCDF: UnaryFunction<Real, Real>, lagrangeOrder: Size, pMax?: Real, pMin?: Real): StochasticCollocationInvCDF

- Defined in ql/math/randomnumbers/stochasticcollocationinvcdf.ts:23
Parameters
- invCDF: UnaryFunction<Real, Real>
- lagrangeOrder: Size
- Default value pMax: Real = QL_NULL_REAL
- Default value pMin: Real = QL_NULL_REAL
Returns StochasticCollocationInvCDF

Properties

Private _interpl

_interpl: LagrangeInterpolation

Private _sigma

_sigma: Real

Private _x

_x: Real[]

Private _y

_y: Real[]

Methods

f

f(u: Real): Real

- Defined in ql/math/randomnumbers/stochasticcollocationinvcdf.ts:44
Parameters
- u: Real
Returns Real

value

value(x: Real): Real

- Defined in ql/math/randomnumbers/stochasticcollocationinvcdf.ts:40
Parameters
- x: Real
Returns Real

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

invCDF: UnaryFunction<Real, Real>

lagrangeOrder: Size

Default value pMax: Real = QL_NULL_REAL

Default value pMin: Real = QL_NULL_REAL

Returns StochasticCollocationInvCDF

Properties

Private _interpl

Private _sigma

Private _x

Private _y

Methods

f

Parameters

u: Real

Returns Real

value

Parameters

x: Real

Returns Real