FeynmanKacGetSplineCoefficientsPrime Method |
Returns the first derivatives of the Hermite quintic spline coefficients
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[,] GetSplineCoefficientsPrime()
Public Function GetSplineCoefficientsPrime As Double(,)
public:
array<double,2>^ GetSplineCoefficientsPrime()
member GetSplineCoefficientsPrime : unit -> float[,]
Return Value
Type:
Double
A
double matrix of dimension
(tGrid.Length+1) by
(3*xGrid.Length)
containing the first derivatives (in time) of 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].
The approximate solution itself is given by
and
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