FeynmanKacIForcingTermForce Method |
Computes approximations to the forcing term
and its derivative
.
Namespace: Imsl.MathAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax void Force(
int interval,
double[] y,
double time,
double width,
double[] xlocal,
double[] qw,
double[,] u,
double[] phi,
double[,] dphi
)
Sub Force (
interval As Integer,
y As Double(),
time As Double,
width As Double,
xlocal As Double(),
qw As Double(),
u As Double(,),
phi As Double(),
dphi As Double(,)
)
void Force(
int interval,
array<double>^ y,
double time,
double width,
array<double>^ xlocal,
array<double>^ qw,
array<double,2>^ u,
array<double>^ phi,
array<double,2>^ dphi
)
abstract Force :
interval : int *
y : float[] *
time : float *
width : float *
xlocal : float[] *
qw : float[] *
u : float[,] *
phi : float[] *
dphi : float[,] -> unit
Parameters
- interval
- Type: SystemInt32
An int, the index related to the integration interval
[xGrid[interval-1], xGrid[interval]].
- y
- Type: SystemDouble
An input double array of length 3*xGrid.Length
containing the coefficients of the Hermite quintic spline
representing the solution of the Feynman-Kac equation at time
point time. For each
the approximate solution is locally defined by
The values
are stored as successive triplets in y.
- time
- Type: SystemDouble
A double scalar, the time point.
- width
- Type: SystemDouble
A double scalar, the width of the integration interval,
width=xGrid[interval]-xGrid[interval-1].
- xlocal
- Type: SystemDouble
An input double array containing the Gauss-Legendre points translated and
normalized to the interval [xGrid[interval-1], xGrid[interval]]. The array
length is equal to the degree of the Gauss-Legendre polynomial.
- qw
- Type: SystemDouble
An input double array containing the Gauss-Legendre weights. The array
length is equal to the degree of the Gauss-Legendre polynomial.
- u
- Type: SystemDouble
An input double matrix of dimension 12 by xlocal.Length
containing the basis function values that define
at the Gauss-Legendre
points xlocal. Setting
vector is defined as
- phi
- Type: SystemDouble
An output double array of length 6 containing Gauss-Legendre
approximations for the local contributions
where t=time and
Denoting by degree the number of Gauss-Legendre points (xlocal.Length) and setting
, vector phi
contains elements
for i=0,...,5.
- dphi
- Type: SystemDouble
An output double matrix of dimension 6 by 6 containing a
Gauss-Legendre approximation for the Jacobian of the local contributions
at time point t=time,
The approximation to this symmetric matrix is stored row-wise, i.e.
for i,j=0,...,5.
See Also