Concrete class for the operator of conditional expectation with respect to gaussian distribution.
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#include <cfl/GaussRollback.hpp>
This is the concrete class for numerical implementations of the operator of conditional expectation with respect to gaussian distribution. It is constructed by a dynamically allocated implementation of the interface class IGaussRollback.
- See also
- IGaussRollback and NGaussRollback
Constructs *this
using dynamically allocated implementation of the interface class IGaussRollback.
- Parameters
-
pNewP | A pointer to a dynamic implementation of the interface class IGaussRollback. |
void cfl::GaussRollback::assign |
( |
unsigned |
iSize, |
|
|
double |
dH, |
|
|
double |
dVar |
|
) |
| |
Transforms *this
to the operator of conditional expectation with respect to the gaussian distribution for functions defined on the grid.
- Parameters
-
dVar | The variance of the gaussian distribution. |
iSize | The number of points on the grid. |
dH | The distance between the points on the grid. |
void cfl::GaussRollback::rollback |
( |
std::valarray< double > & |
rValues | ) |
const |
Replaces the values of the function on the grid with the values of its conditional expectation with respect to the gaussian distribution.
- Parameters
-
rValues | Before 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: