1.2.3
CCC
 
Hermite.hpp File Reference
#include "gstlearn_export.hpp"
#include "Basic/VectorNumT.hpp"
#include "Matrix/MatrixSquareGeneral.hpp"

Functions

GSTLEARN_EXPORT VectorDouble hermitePolynomials (double y, double r, int nbpoly)
 
GSTLEARN_EXPORT VectorDouble hermitePolynomials (double y, double r, const VectorInt &ifacs)
 
GSTLEARN_EXPORT VectorDouble hermiteCoefIndicator (double yc, int nbpoly)
 
GSTLEARN_EXPORT VectorDouble hermiteCoefMetal (double yc, const VectorDouble &phi)
 
GSTLEARN_EXPORT VectorDouble hermiteCoefLower (double y, int nbpoly)
 
GSTLEARN_EXPORT VectorDouble hermiteIndicatorLower (double y, int nbpoly)
 
GSTLEARN_EXPORT MatrixSquareGeneral hermiteIncompleteIntegral (double yc, int nbpoly)
 
GSTLEARN_EXPORT VectorDouble hermiteLognormal (double mean, double sigma, int nbpoly)
 
GSTLEARN_EXPORT double hermiteSeries (const VectorDouble &an, const VectorDouble &hn)
 
GSTLEARN_EXPORT VectorDouble hermiteIndicator (double yc, VectorDouble krigest, VectorDouble krigstd)
 
GSTLEARN_EXPORT double hermiteIndicatorElement (double yc, double krigest, double krigstd)
 
GSTLEARN_EXPORT VectorDouble hermiteIndicatorStd (double yc, VectorDouble krigest, VectorDouble krigstd)
 
GSTLEARN_EXPORT double hermiteIndicatorStdElement (double yc, double krigest, double krigstd)
 
GSTLEARN_EXPORT VectorDouble hermiteMetal (double yc, VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT double hermiteMetalElement (double yc, double krigest, double krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT VectorDouble hermiteMetalStd (double yc, VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT double hermiteMetalStdElement (double yc, double krigest, double krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT VectorDouble hermiteCondExp (VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT double hermiteCondExpElement (double krigest, double krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT VectorDouble hermiteCondStd (VectorDouble krigest, VectorDouble krigstd, const VectorDouble &phi)
 
GSTLEARN_EXPORT double hermiteCondStdElement (double krigest, double krigstd, const VectorDouble &phi)
 

Function Documentation

GSTLEARN_EXPORT VectorDouble hermiteCoefIndicator ( double  yc,
int  nbpoly 
)
Parameters
ycCutoff Value
nbpolyNumber of Hermite polynomials
Returns
The vector of coefficients of the Indicator
GSTLEARN_EXPORT VectorDouble hermiteCoefLower ( double  y,
int  nbpoly 
)

Returns the vector of Hermite coefficients of the gaussian floored at 'y'

Parameters
yFloor value
nbpolyNumber of Polynomial functions
Returns
Hermite Coefficients
GSTLEARN_EXPORT VectorDouble hermiteCoefMetal ( double  yc,
const VectorDouble phi 
)
Parameters
ycCutoff Value
phiCoefficients of Hermite polynomial
Returns
The vector of coefficients of the Metal Quantity
GSTLEARN_EXPORT VectorDouble hermiteCondExp ( VectorDouble  krigest,
VectorDouble  krigstd,
const VectorDouble phi 
)

Calculate the Conditional Expectation: E[Z | Z1=z1, Z2=z2, ..., Zn=zn] = int Phi(y_kk + s_k u) g(u) du

Parameters
krigestVector of Kriging estimates
krigstdVector of Kriging standard deviations
phiArray of Hermite coefficients
Returns
Conditional Expectation
GSTLEARN_EXPORT double hermiteCondExpElement ( double  krigest,
double  krigstd,
const VectorDouble phi 
)
GSTLEARN_EXPORT VectorDouble hermiteCondStd ( VectorDouble  krigest,
VectorDouble  krigstd,
const VectorDouble phi 
)

Vector of conditional variances (same dimension as krigest and krigstd)

Parameters
krigestVector of Kriging estimate
krigstdVector of Kriging standard deviations
phiArray of Hermite coefficients
Returns
GSTLEARN_EXPORT double hermiteCondStdElement ( double  krigest,
double  krigstd,
const VectorDouble phi 
)
GSTLEARN_EXPORT MatrixSquareGeneral hermiteIncompleteIntegral ( double  yc,
int  nbpoly 
)
Parameters
ycCutoff Value
nbpolyNumber of Hermite polynomials
Returns
The matrix of Incomplete Integral (Dimension: nbpoly * nbpoly)
GSTLEARN_EXPORT VectorDouble hermiteIndicator ( double  yc,
VectorDouble  krigest,
VectorDouble  krigstd 
)
Parameters
ycCutoff Value
krigestEstimation
krigstdStandard deviation of estimation error
Returns
The indicator above Cutoff
GSTLEARN_EXPORT double hermiteIndicatorElement ( double  yc,
double  krigest,
double  krigstd 
)
GSTLEARN_EXPORT VectorDouble hermiteIndicatorLower ( double  y,
int  nbpoly 
)
GSTLEARN_EXPORT VectorDouble hermiteIndicatorStd ( double  yc,
VectorDouble  krigest,
VectorDouble  krigstd 
)
GSTLEARN_EXPORT double hermiteIndicatorStdElement ( double  yc,
double  krigest,
double  krigstd 
)
GSTLEARN_EXPORT VectorDouble hermiteLognormal ( double  mean,
double  sigma,
int  nbpoly 
)

Hermite coefficient for a lognormal transform mean * exp(sigma * Y + 1/2 * sigma^2)

Parameters
meanMean value
sigmaStandard deviation
nbpolyNumber of Hermite polynomials
Returns
The array of coefficients
GSTLEARN_EXPORT VectorDouble hermiteMetal ( double  yc,
VectorDouble  krigest,
VectorDouble  krigstd,
const VectorDouble phi 
)
Parameters
ycCutoff Value
krigestEstimation
krigstdStandard deviation of estimation error
phiHermite coefficients
Returns
The Metal
GSTLEARN_EXPORT double hermiteMetalElement ( double  yc,
double  krigest,
double  krigstd,
const VectorDouble phi 
)
GSTLEARN_EXPORT VectorDouble hermiteMetalStd ( double  yc,
VectorDouble  krigest,
VectorDouble  krigstd,
const VectorDouble phi 
)
GSTLEARN_EXPORT double hermiteMetalStdElement ( double  yc,
double  krigest,
double  krigstd,
const VectorDouble phi 
)
GSTLEARN_EXPORT VectorDouble hermitePolynomials ( double  y,
double  r,
int  nbpoly 
)

Calculation of the Hermite Polynomials for a given value

Parameters
yGaussian value for which the Hermite polynomials are calculated
rChange of support coefficient
nbpolyNumber of Hermite polynomials
Returns
The vector of polynomials (Dimension: nbpoly)
GSTLEARN_EXPORT VectorDouble hermitePolynomials ( double  y,
double  r,
const VectorInt ifacs 
)

Returns the vector of Hermite Polynomials selected by ranks

Parameters
yTarget variable
rChange of support coefficient
ifacsVector of ranks (staring from 0)
Returns
The vector of Hi(y) where 'i' is in 'ifacs'
GSTLEARN_EXPORT double hermiteSeries ( const VectorDouble an,
const VectorDouble hn 
)

Evaluate the Hermite expansion

Parameters
anSeries of coefficients of the Hermite polynomials
hnHermite polynomial values
Returns
The result of the expansion