QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
SamplerMirrorGaussian Class Reference

Gaussian Mirror Sampler. More...

#include <hybridsimulatedannealingfunctors.hpp>

+ Collaboration diagram for SamplerMirrorGaussian:

Public Member Functions

 SamplerMirrorGaussian (Array lower, Array upper, unsigned long seed=SeedGenerator::instance().get())
 
void operator() (Array &newPoint, const Array &currentPoint, const Array &temp)
 

Private Attributes

std::mt19937 generator_
 
std::normal_distribution< Realdistribution_
 
Array lower_
 
Array upper_
 

Detailed Description

Gaussian Mirror Sampler.

Sample from normal distribution, but constrained to lie within .boundaries. If the value ends up beyond the boundary, the value is reflected back.

Definition at line 120 of file hybridsimulatedannealingfunctors.hpp.

Constructor & Destructor Documentation

◆ SamplerMirrorGaussian()

SamplerMirrorGaussian ( Array  lower,
Array  upper,
unsigned long  seed = SeedGenerator::instance().get() 
)

Definition at line 123 of file hybridsimulatedannealingfunctors.hpp.

Member Function Documentation

◆ operator()()

void operator() ( Array newPoint,
const Array currentPoint,
const Array temp 
)

Definition at line 129 of file hybridsimulatedannealingfunctors.hpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ generator_

std::mt19937 generator_
private

Definition at line 144 of file hybridsimulatedannealingfunctors.hpp.

◆ distribution_

std::normal_distribution<Real> distribution_
private

Definition at line 145 of file hybridsimulatedannealingfunctors.hpp.

◆ lower_

Array lower_
private

Definition at line 146 of file hybridsimulatedannealingfunctors.hpp.

◆ upper_

Array upper_
private

Definition at line 146 of file hybridsimulatedannealingfunctors.hpp.