CFL
Public Member Functions | List of all members

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

#include <cfl/GaussRollback.hpp>

Public Member Functions

 GaussRollback (IGaussRollback *pNewP=0)
 
void assign (unsigned iSize, double dH, double dVar)
 
void rollback (std::valarray< double > &rValues) const
 

Detailed Description

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

Constructor & Destructor Documentation

cfl::GaussRollback::GaussRollback ( IGaussRollback pNewP = 0)
explicit

Constructs *this using dynamically allocated implementation of the interface class IGaussRollback.

Parameters
pNewPA pointer to a dynamic implementation of the interface class IGaussRollback.

Member Function Documentation

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
dVarThe variance of the gaussian distribution.
iSizeThe number of points on the grid.
dHThe 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
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: