Class FiniteDifferenceMatrixBuilder

java.lang.Object
net.finmath.finitedifference.solvers.FiniteDifferenceMatrixBuilder
public class FiniteDifferenceMatrixBuilder extends Object
Builds finite difference matrices for approximating the first and second derivatives of a function sampled on a (possibly) non-uniform grid.

The matrices returned by this class are linear operators which, when applied to a vector of function values f(x_i), approximate f'(x_i) and f''(x_i) at the grid points x_i.

The implementation uses

  • forward differences at the first node,
  • backward differences at the last node,
  • central differences at internal nodes.
Author:
Alessandro Gnoatto

  • Constructor Details

    • FiniteDifferenceMatrixBuilder

      public FiniteDifferenceMatrixBuilder(double[] x)
      Constructs a finite difference matrix builder for the given grid.
      Parameters:
      x - Array of grid points.

  • Method Details

    • getFirstDerivativeMatrix

      public org.apache.commons.math3.linear.RealMatrix getFirstDerivativeMatrix()
      Returns the finite difference matrix for the first derivative.
      Returns:
      The matrix representing the first derivative operator.

    • getSecondDerivativeMatrix

      public org.apache.commons.math3.linear.RealMatrix getSecondDerivativeMatrix()
      Returns the finite difference matrix for the second derivative.
      Returns:
      The matrix representing the second derivative operator.