CFL
Public Member Functions | List of all members

Interface class for the operator of conditional expectation with respect to gaussian distribution. More...

#include <cfl/GaussRollback.hpp>

Public Member Functions

virtual ~IGaussRollback ()
 
virtual IGaussRollbacknewObject (unsigned iSize, double dH, double dVar) const =0
 
virtual void rollback (std::valarray< double > &rValues) const =0
 

Detailed Description

This is the abstract class for numerical implementations of the operator of conditional expectation with respect to gaussian distribution. Its implementation on a free store is used to construct standard concrete class GaussRollback.

See also
GaussRollback and NGaussRollback

Constructor & Destructor Documentation

virtual cfl::IGaussRollback::~IGaussRollback ( )
inlinevirtual

Virtual destructor.

Member Function Documentation

virtual IGaussRollback* cfl::IGaussRollback::newObject ( unsigned  iSize,
double  dH,
double  dVar 
) const
pure virtual

Returns the pointer on a free store to the object which implements the operator of conditional expectation with respect to the gaussian distribution with given parameters for functions defined on the grid.

Parameters
dVarThe variance of the gaussian distribution.
iSizeThe number of points on the grid.
dHThe distance between the points on the grid.
Returns
A dynamically allocated implementation of IGaussRollback.
virtual void cfl::IGaussRollback::rollback ( std::valarray< double > &  rValues) const
pure virtual

Replaces the values of the function on the grid with the values of its conditional expectation with respect to the gaussian distribution.

Parameters
rValuesBefore rollback this parameter represents the original values of the function. After rollback the original values are replaced with their conditional expectation with respect to the gaussian distribution.

The documentation for this class was generated from the following file: