List of differentiate() Examples

Examples of differentiate()

com.opengamma.analytics.math.differentiation.ScalarFieldFirstOrderDifferentiator.differentiate()
com.opengamma.analytics.math.differentiation.ScalarFirstOrderDifferentiator.differentiate()
com.opengamma.analytics.math.differentiation.VectorFieldFirstOrderDifferentiator.differentiate()
com.opengamma.analytics.math.differentiation.VectorFieldSecondOrderDifferentiator.differentiate()
This computes the second derivative of a vector field, which is a rank 3 tensor field. The tensor is represented as an array of DoubleMatrix2D, where each matrix is a Hessian (for the dependent variable y_i), so the indexing is H^i_{j,k} =\partial^2y_i/\partial x_j \partial x_k @param function the function representing the vector field @return A function representing the second derivative of the vector field (i.e. a rank 3 tensor field)
com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()
@param pp PiecewisePolynomialResult @param xKey @return First derivatives of piecewise polynomial functions at xKey When _dim in PiecewisePolynomialResult is greater than 1, i.e., the struct contains multiple piecewise polynomials, an element in the return values corresponds to each piecewise polynomial

Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

   * @param x1Keys 
   * @return Values of first derivative with respect to x0 at (x0Key_i, x1Keys_j) 
   */
  public DoubleMatrix2D differentiateX0(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double[] x0Keys, final double[] x1Keys) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[][] interpX0Diff = OG_ALGEBRA.getTranspose(func.differentiate(_method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Keys)).getData();
    return _method[1].interpolate(x1Values, interpX0Diff, x1Keys);
  }


  /**
   * @param x0Values

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

   * @param x1Key 
   * @return Value of first derivative with respect to x1 at (x0Key, x1Key) 
   */
  public double differentiateX1(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double x0Key, final double x1Key) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[] interpX1Diff = func.differentiate(_method[1].interpolate(x1Values, yValues), x1Key).getData();
    return _method[0].interpolate(x0Values, interpX1Diff, x0Key);
  }


  /**
   * @param x0Values

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

   * @param x1Keys 
   * @return Values of first derivative with respect to x1 at (x0Key_i, x1Keys_j) 
   */
  public DoubleMatrix2D differentiateX1(final double[] x0Values, final double[] x1Values, final double[][] yValues, final double[] x0Keys, final double[] x1Keys) {
    final PiecewisePolynomialFunction1D func = new PiecewisePolynomialFunction1D();
    final double[][] interpX1Diff = OG_ALGEBRA.getTranspose(func.differentiate(_method[1].interpolate(x1Values, yValues), x1Keys)).getData();
    return OG_ALGEBRA.getTranspose(_method[0].interpolate(x0Values, interpX1Diff, x0Keys));
  }


  /**
   * @param x0Values

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

    double[][] diff0 = new double[nData1][nData0];
    double[][] diff1 = new double[nData0][nData1];
    double[][] cross = new double[nData0][nData1];


    final PiecewisePolynomialResult result0 = _method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(yValuesMatrix).getData());
    diff0 = func.differentiate(result0, x0Values).getData();


    final PiecewisePolynomialResult result1 = _method[1].interpolate(x1Values, yValuesMatrix.getData());
    diff1 = func.differentiate(result1, x1Values).getData();


    final int order = 4;

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()


    final PiecewisePolynomialResult result0 = _method[0].interpolate(x0Values, OG_ALGEBRA.getTranspose(yValuesMatrix).getData());
    diff0 = func.differentiate(result0, x0Values).getData();


    final PiecewisePolynomialResult result1 = _method[1].interpolate(x1Values, yValuesMatrix.getData());
    diff1 = func.differentiate(result1, x1Values).getData();


    final int order = 4;


    for (int i = 0; i < nData0; ++i) {
      for (int j = 0; j < nData1; ++j) {

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

        new SemiLocalCubicSplineInterpolator1D(), new MonotoneConvexSplineInterpolator1D(), new ShapePreservingCubicSplineInterpolator1D() };
    final int nMethods = bareInterp.length;
    final PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();


    for (int i = 0; i < dim; ++i) {
      final double[] bareResClamp = function.differentiate(bareInterp[0].interpolate(xValues, yValuesForClamped[i]), xKeys).getData()[0];
      for (int j = 0; j < nKeys; ++j) {
        final Interpolator1DDataBundle dataBundleClamp = wrappedInterp[0].getDataBundleFromSortedArrays(xValues, yValues[i]);
        final double wrappedResClamp = wrappedInterp[0].firstDerivative(dataBundleClamp, xKeys[j]);
        assertEquals(wrappedResClamp, bareResClamp[j], Math.max(Math.abs(bareResClamp[j]), 1.) * 1.e-15);
      }

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

        final double wrappedResClamp = wrappedInterp[0].firstDerivative(dataBundleClamp, xKeys[j]);
        assertEquals(wrappedResClamp, bareResClamp[j], Math.max(Math.abs(bareResClamp[j]), 1.) * 1.e-15);
      }


      for (int k = 1; k < nMethods; ++k) {
        final double[] bareRes = function.differentiate(bareInterp[k].interpolate(xValues, yValues[i]), xKeys).getData()[0];
        for (int j = 0; j < nKeys; ++j) {
          final Interpolator1DDataBundle dataBundle = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues[i]);
          final double wrappedRes = wrappedInterp[k].firstDerivative(dataBundle, xKeys[j]);
          assertEquals(wrappedRes, bareRes[j], Math.max(Math.abs(bareRes[j]), 1.) * 1.e-15);
        }

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

        ref = Math.abs(resX1Twice[i][j]) < 0.1 * EPS ? 0.1 : Math.abs(resX1Twice[i][j]);
        assertEquals(resX1Twice[i][j], resX1TwiceTran[i][j], EPS * ref);
      }
    }
    {
      final double val = func.differentiate(method.interpolate(x1Values, yValues[1]), x1Keys[2]).getData()[0];
      final double resVal = interp.differentiateX1(x0Values, x1Values, yValues, x0Values[1], x1Keys[2]);
      final double ref = Math.abs(val) < 0.1 * EPS ? 0.1 : Math.abs(val);
      assertEquals(resVal, val, EPS * ref);
    }
    {

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

      final double resVal = interp.differentiateX1(x0Values, x1Values, yValues, x0Values[1], x1Keys[2]);
      final double ref = Math.abs(val) < 0.1 * EPS ? 0.1 : Math.abs(val);
      assertEquals(resVal, val, EPS * ref);
    }
    {
      final double val = func.differentiate(method.interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()[1]), x0Keys[2]).getData()[0];
      final double resVal = interp.differentiateX0(x0Values, x1Values, yValues, x0Keys[2], x1Values[1]);
      final double ref = Math.abs(val) < 0.1 * EPS ? 0.1 : Math.abs(val);
      assertEquals(resVal, val, EPS * ref);
    }
    {

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Examples of com.opengamma.analytics.math.function.PiecewisePolynomialFunction1D.differentiate()

    final PiecewisePolynomialFunction2D func2D = new PiecewisePolynomialFunction2D();
    double[][] resDiffX0 = func2D.differentiateX0(result, x0Values, x1Values).getData();
    double[][] resDiffX1 = func2D.differentiateX1(result, x0Values, x1Values).getData();


    final PiecewisePolynomialFunction1D func1D = new PiecewisePolynomialFunction1D();
    double[][] expDiffX0 = func1D.differentiate(method.interpolate(x0Values, OG_ALGEBRA.getTranspose(new DoubleMatrix2D(yValues)).getData()), x0Values).getData();
    double[][] expDiffX1 = func1D.differentiate(method.interpolate(x1Values, yValues), x1Values).getData();


    for (int i = 0; i < n0Data; ++i) {
      for (int j = 0; j < n1Data; ++j) {
        final double expVal = expDiffX1[i][j];

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