eop_beta.m File Reference

[model, beta_build] = eop_beta(model) More...

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Functions
function [ model , beta_build ] =	eop_beta (model)
	[model, beta_build] = eop_beta(model) More...

Detailed Description

[model, beta_build] = eop_beta(model)

Definition in file eop_beta.m.

Function Documentation

function [ model , beta_build ] = eop_beta

(

model

)

[model, beta_build] = eop_beta(model)

function computing the inf-sup constant of the PG-BLF-Matrix of the european_option_pricing_model for each mu in a training set. Output is the minimum of those inf-sup constants - the empirical inf-sup constant. Uses the huge sparse matrix and therefor needs a lot of RAM. Could also be done with AFUN for eigs but this approach was sufficient for one run to get an empirical constant.

Parameters

model

model

Return values

model	model
beta_build	beta build

Required fields of model:

• get_inner_product_matrix —  function W=f(model_data) returning the mass matrix \(W\) for inner product computation \(\langle u,v \rangle = u^t W v\).
• operators_ptr —  operators ptr
• nt —  number of time steps for evolution discretizations
• mu_ranges —  matrix storing the admissable ranges for parameter vector components. Each two dimensional column vector represents a range for a component specified by model.mu_names.
• set_mu —  set mu

Generated fields of model:

• decomp_mode —  flag indicating the operation mode of the function:
  • 0 (complete) : no affine parameter dependence or decomposition is performed.
  • 1 (components) : for each output argument a cell array of output matrices is returned representing the \(q\)-th component independent of the parameters given in mu_names.
  • 2 (coefficients) : returns a vector where each coordinate represents the \(q\)-the coefficient \(\sigma_{\cdot}^{q}(\mu)\) dependent on the parameters given in mu_names.
• beta_LB —  beta LB

Definition at line 17 of file eop_beta.m.

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