Enum ForwardSensitivities.ReductionMethod

java.lang.Object

java.lang.Enum<ForwardSensitivities.ReductionMethod>

net.finmath.montecarlo.automaticdifferentiation.forwardsensitivities.ForwardSensitivities.ReductionMethod

All Implemented Interfaces:

Serializable, Comparable<ForwardSensitivities.ReductionMethod>, java.lang.constant.Constable

Enclosing class:

ForwardSensitivities

public static enum ForwardSensitivities.ReductionMethod
extends Enum<ForwardSensitivities.ReductionMethod>

The reduced coefficient criterion used to determine the basis coefficients.

Author:

Christian Fries

Nested Class Summary

Nested classes/interfaces inherited from class Enum

Enum.EnumDesc<E>

Enum Constant Summary

Enum Constants

Enum Constant	Description
L2	Empirical L2 residual minimization: min_xi 1/N sum_l ||A_l phi_l^r - b_l||_2^2 + lambda ||xi||_2^2.
PROJECTED_GALERKIN	Projected/Galerkin, or Petrov-Galerkin, moment matching: <(A phi^r - b)_i, Y_s>_N = 0.

Method Summary

Modifier and Type	Method	Description
static ForwardSensitivities.ReductionMethod	valueOf(String name)	Returns the enum constant of this type with the specified name.
static ForwardSensitivities.ReductionMethod[]	values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods inherited from class Enum

clone, compareTo, describeConstable, equals, finalize, getDeclaringClass, hashCode, name, ordinal, toString, valueOf

Methods inherited from class Object

getClass, notify, notifyAll, wait, wait, wait

Enum Constant Details

L2

public static final ForwardSensitivities.ReductionMethod L2

Empirical L2 residual minimization: min_xi 1/N sum_l ||A_l phi_l^r - b_l||_2^2 + lambda ||xi||_2^2. The returned reduced matrix is the normal matrix X^T A^T A X / N, and the returned right-hand side is X^T A^T b / N.

PROJECTED_GALERKIN

public static final ForwardSensitivities.ReductionMethod PROJECTED_GALERKIN

Projected/Galerkin, or Petrov-Galerkin, moment matching: <(A phi^r - b)_i, Y_s>_N = 0. If Y_s = X_s, this is the usual Galerkin case. If the test basis differs from the solution basis, it is a Petrov-Galerkin projected moment system. If the system is not solved exactly, the code solves the reduced least-squares problem ||B xi - beta||^2 + lambda ||xi||^2.

Method Details

values

public static ForwardSensitivities.ReductionMethod[] values()

Returns an array containing the constants of this enum type, in the order they are declared.

Returns:

an array containing the constants of this enum type, in the order they are declared

valueOf

public static ForwardSensitivities.ReductionMethod valueOf(String name)

Returns the enum constant of this type with the specified name. The string must match exactly an identifier used to declare an enum constant in this type. (Extraneous whitespace characters are not permitted.)

Parameters:

name - the name of the enum constant to be returned.

Returns:

the enum constant with the specified name

Throws:

IllegalArgumentException - if this enum type has no constant with the specified name

NullPointerException - if the argument is null