@Override
public double value(double x) {
if (x < gamma) {
return sf1.value(x);
} else {
return (1 - sf2.value(x));
}
}
/* (non-Javadoc)
* @see net.finmath.stochastic.RandomVariableInterface#apply(org.apache.commons.math3.analysis.UnivariateFunction)
*/
@Override
public RandomVariableInterface apply(
org.apache.commons.math3.analysis.UnivariateFunction function) {
if (isDeterministic()) {
double newValueIfNonStochastic = function.value(valueIfNonStochastic);
return new RandomVariable(time, newValueIfNonStochastic);
} else {
double[] newRealizations = new double[realizations.length];
for (int i = 0; i < newRealizations.length; i++)
newRealizations[i] = function.value(realizations[i]);
return new RandomVariable(time, newRealizations);
}
}
/** Test of parameters for the interpolator. */
@Test
public void testParameters() {
UnivariateInterpolator interpolator = new DividedDifferenceInterpolator();
try {
// bad abscissas array
double x[] = {1.0, 2.0, 2.0, 4.0};
double y[] = {0.0, 4.0, 4.0, 2.5};
UnivariateFunction p = interpolator.interpolate(x, y);
p.value(0.0);
Assert.fail("Expecting NonMonotonicSequenceException - bad abscissas array");
} catch (NonMonotonicSequenceException ex) {
// expected
}
}
/**
* @param f Function.
* @param x Argument.
* @return {@code f(x)}
* @throws TooManyEvaluationsException if the maximal number of evaluations is exceeded.
*/
private double eval(UnivariateFunction f, double x) {
try {
evaluations.incrementCount();
} catch (MaxCountExceededException e) {
throw new TooManyEvaluationsException(e.getMax());
}
return f.value(x);
}
/* 136: */
/* 137: */ private double findUpperBound(UnivariateFunction f, double a, double h)
/* 138: */ {
/* 139:249 */ double yA = f.value(a);
/* 140:250 */ double yB = yA;
/* 141:251 */ for (double step = h;
step < 1.7976931348623157E+308D;
step *= FastMath.max(2.0D, yA / yB))
/* 142: */ {
/* 143:252 */ double b = a + step;
/* 144:253 */ yB = f.value(b);
/* 145:254 */ if (yA * yB <= 0.0D) {
/* 146:255 */ return b;
/* 147: */ }
/* 148: */ }
/* 149:258 */ throw new MathIllegalStateException(
LocalizedFormats.UNABLE_TO_BRACKET_OPTIMUM_IN_LINE_SEARCH, new Object[0]);
/* 150: */ }
/**
* Test of interpolator for the sine function.
*
* <p>|sin^(n)(zeta)| <= 1.0, zeta in [0, 2*PI]
*/
@Test
public void testSinFunction() {
UnivariateFunction f = new Sin();
UnivariateInterpolator interpolator = new DividedDifferenceInterpolator();
double x[], y[], z, expected, result, tolerance;
// 6 interpolating points on interval [0, 2*PI]
int n = 6;
double min = 0.0, max = 2 * FastMath.PI;
x = new double[n];
y = new double[n];
for (int i = 0; i < n; i++) {
x[i] = min + i * (max - min) / n;
y[i] = f.value(x[i]);
}
double derivativebound = 1.0;
UnivariateFunction p = interpolator.interpolate(x, y);
z = FastMath.PI / 4;
expected = f.value(z);
result = p.value(z);
tolerance = FastMath.abs(derivativebound * partialerror(x, z));
Assert.assertEquals(expected, result, tolerance);
z = FastMath.PI * 1.5;
expected = f.value(z);
result = p.value(z);
tolerance = FastMath.abs(derivativebound * partialerror(x, z));
Assert.assertEquals(expected, result, tolerance);
}