MultidimIntegral Class Reference

Integrates a vector or scalar function of vector domain. More...

#include <ql/experimental/math/multidimintegrator.hpp>

Inheritance diagram for MultidimIntegral:

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Public Member Functions
	MultidimIntegral (const std::vector< ext::shared_ptr< Integrator > > &integrators)
Real	operator() (const ext::function< Real(const std::vector< Real > &)> &f, const std::vector< Real > &a, const std::vector< Real > &b) const

Private Member Functions
template<Size depth>
void	spawnFcts () const
template<int T_N>
Real	vectorBinder (const ext::function< Real(const std::vector< Real > &)> &f, Real z, const std::vector< Real > &a, const std::vector< Real > &b) const
template<int nT>
Real	integrate (const ext::function< Real(const std::vector< Real > &)> &f, const std::vector< Real > &a, const std::vector< Real > &b) const
template<>
Real	vectorBinder (const ext::function< Real(const std::vector< Real > &)> &f, Real z, const std::vector< Real > &a, const std::vector< Real > &b) const
template<>
void	spawnFcts () const

Private Attributes
const std::vector< ext::shared_ptr< Integrator > >	integrators_
std::vector< ext::function< Real(const ext::function< Real(const std::vector< Real > &)> &, const std::vector< Real > &, const std::vector< Real > &) > >	integrationLevelEntries_
std::vector< Real >	varBuffer_

Static Private Attributes
static const Size	maxDimensions_ = 15

Detailed Description

Integrates a vector or scalar function of vector domain.

Uses a collection of arbitrary 1D integrators along each of the dimensions. A template recursion along dimensions avoids calling depth test or virtual functions.

This class generalizes to an arbitrary number of dimensions the functionality in class TwoDimensionalIntegral

Examples

MultidimIntegral.cpp.

Definition at line 39 of file multidimintegrator.hpp.

Constructor & Destructor Documentation

MultidimIntegral()

MultidimIntegral ( const std::vector< ext::shared_ptr< Integrator > > &  integrators )

explicit

Definition at line 24 of file multidimintegrator.cpp.

Member Function Documentation

operator()()

Real operator()	(	const ext::function< Real(const std::vector< Real > &)> &	f,
		const std::vector< Real > &	a,
		const std::vector< Real > &	b
	)		const

f is the integrand function; a and b are the lower and upper integration limit domain for each dimension.

Definition at line 48 of file multidimintegrator.hpp.

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spawnFcts() [1/2]

void spawnFcts

private

Definition at line 157 of file multidimintegrator.hpp.

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vectorBinder() [1/2]

Real vectorBinder ( const ext::function< Real(const std::vector< Real > &)> &  f, Real  z, const std::vector< Real > &  a, const std::vector< Real > &  b  ) const

private

Definition at line 146 of file multidimintegrator.hpp.

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integrate()

Real integrate ( const ext::function< Real(const std::vector< Real > &)> &  f, const std::vector< Real > &  a, const std::vector< Real > &  b  ) const

private

Definition at line 134 of file multidimintegrator.hpp.

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vectorBinder() [2/2]

Real vectorBinder ( const ext::function< Real(const std::vector< Real > &)> &  f, Real  z, const std::vector< Real > &  a, const std::vector< Real > &  b  ) const

private

Definition at line 116 of file multidimintegrator.hpp.

spawnFcts() [2/2]

void spawnFcts ( ) const

private

Definition at line 127 of file multidimintegrator.hpp.

Member Data Documentation

maxDimensions_

const Size maxDimensions_ = 15

staticprivate

Definition at line 60 of file multidimintegrator.hpp.

integrators_

const std::vector<ext::shared_ptr<Integrator> > integrators_

private

Definition at line 85 of file multidimintegrator.hpp.

integrationLevelEntries_

std::vector<ext::function<Real ( const ext::function<Real (const std::vector<Real>&)>&, const std::vector<Real>&, const std::vector<Real>&) > > integrationLevelEntries_

mutableprivate

Definition at line 105 of file multidimintegrator.hpp.

varBuffer_

std::vector<Real> varBuffer_

mutableprivate

Definition at line 110 of file multidimintegrator.hpp.