Package com.polytechnik.trading
Class SplitdIHdt
java.lang.Object
com.polytechnik.trading.SplitdIHdt
A class to split dI/dt like operator on positive and negative subspaces.
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Field Summary
FieldsModifier and TypeFieldDescriptionfinal double
final double
final double
final double
final double
final double
final double
final EVXData
final double
final double
final double
(package private) final double[]
The state of the spike.final double
final double
Time to "now" (in tau units) in selected state.final double
Time to "now" (in tau units) in selected state. -
Constructor Summary
ConstructorsConstructorDescriptionSplitdIHdt
(EVXData IH, double[] psiM, double p_offset, double p_last, double[] bQQdIHdt, double[] bQQpdIHdt, double[] bQQDensityMatrix, double[] bQQdp, double T_M, double Tv_M, double I_M, double pv_M, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M, double eps) -
Method Summary
Modifier and TypeMethodDescriptionstatic SplitdIHdt
getFromdIHdt
(int n, double[] dIHdtmom, double[] pdIHdtmom, double[] dpmom, CommonlyUsedMoments sst, double eps) Obtain the result from moments (possibly of secondary sampling).static void
match
(SplitdIHdt a, SplitdIHdt b, double eps) For unit test.
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Field Details
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PdIHdt_spurM
public final double PdIHdt_spurM -
dIHdt_posdIH_spurM
public final double dIHdt_posdIH_spurM -
dIHdt_negdIH_spurM
public final double dIHdt_negdIH_spurM -
pF_posdIH_spurM
public final double pF_posdIH_spurM -
pF_negdIH_spurM
public final double pF_negdIH_spurM -
dpdt_spurM
public final double dpdt_spurM -
dpdt_posdIH_spurM
public final double dpdt_posdIH_spurM -
dpdt_negdIH_spurM
public final double dpdt_negdIH_spurM -
dIHdt_spurM
public final double dIHdt_spurM -
T_M
public final double T_MTime to "now" (in tau units) in selected state. -
Tv_M
public final double Tv_MTime to "now" (in tau units) in selected state. -
pv_M
public final double pv_M -
I_M
public final double I_M -
IH
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psiM
final double[] psiMThe state of the spike.
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Constructor Details
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SplitdIHdt
SplitdIHdt(EVXData IH, double[] psiM, double p_offset, double p_last, double[] bQQdIHdt, double[] bQQpdIHdt, double[] bQQDensityMatrix, double[] bQQdp, double T_M, double Tv_M, double I_M, double pv_M, OrthogonalPolynomialsBasisFunctionsCalculatable<? extends BasisFunctionsCalculatable> M, double eps)
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Method Details
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getFromdIHdt
public static SplitdIHdt getFromdIHdt(int n, double[] dIHdtmom, double[] pdIHdtmom, double[] dpmom, CommonlyUsedMoments sst, double eps) Obtain the result from moments (possibly of secondary sampling). The "execution flow" is extracted internally from its derivative'sdIHdtmom
moments using integration by parts. This allows the moments of secondary sampling to be used for modelling execution flow. For regular execution flowI=dV/dt
usesst.getDFMomentsFromF(TMatr.sumaAbB(0*Ifuture,tmom,-1,imom))
; theIfuture
may be set to 0, as it is properly set insideconstructor
anyway.- Parameters:
n
- Problem dimension.dIHdtmom
- Input moments of dI/dt -"style".pdIHdtmom
- Input moments of p*dI/dt -"style". One may use the moments of \(p\frac{dI}{dt}\) and \(\frac{dpI}{dt}\) types.dpmom
- Some moments to test other ideas. Propagates todpdt_spurM
,dpdt_posdIH_spurM
, anddpdt_negdIH_spurM
.sst
- Basis operations.eps
- If positive -- run unit test with this eps.
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match
For unit test.
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