com.opengamma.strata.math.impl.differentiation

Class VectorFieldSecondOrderDifferentiator

java.lang.Object

com.opengamma.strata.math.impl.differentiation.VectorFieldSecondOrderDifferentiator

All Implemented Interfaces:

Differentiator<DoubleArray,DoubleArray,DoubleMatrix[]>

public class VectorFieldSecondOrderDifferentiator
extends Object
implements Differentiator<DoubleArray,DoubleArray,DoubleMatrix[]>

The Vector field second order differentiator.

Constructor Summary

Constructors

Constructor and Description
VectorFieldSecondOrderDifferentiator() Creates an instance using the default values.

Method Summary

Modifier and Type	Method and Description
Function<DoubleArray,DoubleMatrix[]>	differentiate(Function<DoubleArray,DoubleArray> function) This computes the second derivative of a vector field, which is a rank 3 tensor field.
Function<DoubleArray,DoubleMatrix[]>	differentiate(Function<DoubleArray,DoubleArray> function, Function<DoubleArray,Boolean> domain) Provides a function that performs the differentiation.
Function<DoubleArray,DoubleMatrix[]>	differentiateFull(Function<DoubleArray,DoubleArray> function) Differentiate.
Function<DoubleArray,DoubleMatrix>	differentiateNoCross(Function<DoubleArray,DoubleArray> function) Computes the second derivative of a vector field, without cross derivatives.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

VectorFieldSecondOrderDifferentiator

public VectorFieldSecondOrderDifferentiator()

Creates an instance using the default values.

Method Detail

differentiate

public Function<DoubleArray,DoubleMatrix[]> differentiate(Function<DoubleArray,DoubleArray> function)

This computes the second derivative of a vector field, which is a rank 3 tensor field. The tensor is represented as an array of DoubleMatrix, where each matrix is a Hessian (for the dependent variable y_i), so the indexing is H^i_{j,k} =\partial^2y_i/\partial x_j \partial x_k

Specified by:

differentiate in interface Differentiator<DoubleArray,DoubleArray,DoubleMatrix[]>

Parameters:

function - the function representing the vector field

Returns:

a function representing the second derivative of the vector field (i.e. a rank 3 tensor field)

differentiate

public Function<DoubleArray,DoubleMatrix[]> differentiate(Function<DoubleArray,DoubleArray> function,
                                                          Function<DoubleArray,Boolean> domain)

Description copied from interface: Differentiator

Provides a function that performs the differentiation.

Specified by:

differentiate in interface Differentiator<DoubleArray,DoubleArray,DoubleMatrix[]>

Parameters:

function - a function for which to get the differential function

domain - a function that returns false if the requested value is not in the domain, true otherwise

Returns:

a function that calculates the differential

differentiateFull

public Function<DoubleArray,DoubleMatrix[]> differentiateFull(Function<DoubleArray,DoubleArray> function)

Differentiate.

Parameters:

function - the function

Returns:

the result

differentiateNoCross

public Function<DoubleArray,DoubleMatrix> differentiateNoCross(Function<DoubleArray,DoubleArray> function)

Computes the second derivative of a vector field, without cross derivatives. This creates a function returning a matrix whose {i,j} element is $H^i_{j} = \partial^2y_i/\partial x_j \partial x_j$.

Parameters:

function - the function representing the vector field

Returns:

a function representing the second derivative of the vector field (i.e. a rank 3 tensor field)