FeynmanKacGetSplineCoefficients Method |
Returns the coefficients of the Hermite quintic splines that represent an
approximate solution of the Feynman-Kac PDE.
Namespace: Imsl.MathAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public double[,] GetSplineCoefficients()
Public Function GetSplineCoefficients As Double(,)
public:
array<double,2>^ GetSplineCoefficients()
member GetSplineCoefficients : unit -> float[,]
Return Value
Type:
Double
A
double matrix of dimension
(tGrid.Length+1) by
(3*xGrid.Length)
containing the coefficients of the Hermite quintic spline representation of the
approximate solution for the Feynman-Kac PDE at time points
0, tGrid[0],...,tGrid[tGrid.Length-1]. Setting
ntGrid = tGrid.Length and
nxGrid = xGrid.Length
the approximate solution is given by
The representation for the initial data at
t=0 is
The
(ntGrid+1) by
(3*nxGrid) matrix
is stored row-wise in the returned array.
Remarks
The ComputeCoefficients method must be invoked first
before invoking this method. Otherwise, the method throws an
InvalidOperationException exception.
See Also