Package org.drip.numerical.integration

Class QuadratureEstimate

java.lang.Object
org.drip.numerical.integration.QuadratureEstimate
public class QuadratureEstimate
extends java.lang.Object
QuadratureEstimate contains the Estimate of the Integrand Quadrature and its corresponding Error. The References are:

  • Briol, F. X., C. J. Oates, M. Girolami, and M. A. Osborne (2015): Frank-Wolfe Bayesian Quadrature: Probabilistic Integration with Theoretical Guarantees arXiv
  • Forsythe, G. E., M. A. Malcolm, and C. B. Moler (1977): Computer Methods for Mathematical Computation Prentice Hall Englewood Cliffs NJ
  • Leader, J. J. (2004): Numerical Analysis and Scientific Computation Addison Wesley
  • Stoer, J., and R. Bulirsch (1980): Introduction to Numerical Analysis Springer-Verlag New York
  • Wikipedia (2019): Numerical Integration https://en.wikipedia.org/wiki/Numerical_integration


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    QuadratureEstimate​(double baseline, double error)
    QuadratureEstimate Constructor

  • Method Summary

    Modifier and Type Method Description
    double baseline()
    Retrieve the Baseline Quadrature Estimate
    double error()
    Retrieve the Quadrature Error Estimate

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • QuadratureEstimate

      public QuadratureEstimate​(double baseline, double error) throws java.lang.Exception
      QuadratureEstimate Constructor
      Parameters:
      baseline - Baseline Quadrature Estimate
      error - Quadrature Error Estimate
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • baseline

      public double baseline()
      Retrieve the Baseline Quadrature Estimate
      Returns:
      The Baseline Quadrature Estimate

    • error

      public double error()
      Retrieve the Quadrature Error Estimate
      Returns:
      The Quadrature Error Estimate