lin_evol_detailed_simulation_primal_dual.m File Reference

sim_data = lin_evol_detailed_simulation_primal_dual(model, model_data) More...

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Functions
function sim_data =	lin_evol_detailed_simulation_primal_dual (model, model_data)
	sim_data = lin_evol_detailed_simulation_primal_dual(model, model_data) More...

Detailed Description

sim_data = lin_evol_detailed_simulation_primal_dual(model, model_data)

Definition in file lin_evol_detailed_simulation_primal_dual.m.

Function Documentation

function sim_data = lin_evol_detailed_simulation_primal_dual	(		model,
			model_data
	)

sim_data = lin_evol_detailed_simulation_primal_dual(model, model_data)

copy of lin_evol_detailed_simulation but extended to a primal/dual setting.

function which performs a detailed simulation for the given mu, which has to be set in model via model.set_mu. Can either perform a pimal or a dual detailed simulation controlled via the field model.want_dual (= 1 or 0).

see lin_ds_detailed_simulation for a description on the time indices

return fields of sim_data

U : sequence of DOF vectors y : sequence of output functional values (if activated)

special Note: in the european_option_pricing model a functional named theta includes a partial timederivative and therefore produces a slightly different dual problem. Therefore the theta-case is sometimes treated differently. Dont care about this case if you dont use the european_option_pricing model.

Bernard Haasdonk 27.8.2009

primal/dual formulation by Dominik Garmater 20.07 2012

Parameters

model	model
model_data	model data

Return values

sim_data

sim data

Required fields of model:

• T —  final time
• nt —  number of time-intervals until T, i.e. nt+1 solution slices are computed
• init_values_algorithm —  name of function for computing the initvalues-DOF with arguments (grid, params)
• example —  init_values_cog
• operators_algorithm —  name of function for computing the L_E,L_I,b-operators with arguments (grid, params) example operators_conv_diff
• data_const_in_time —  if this optional field is 1, the time evolution is performed with constant operators, i.e. only the initial-time-operators are computed and used throughout the time simulation.
• compute_output_functional —  flag indicating, whether output functional is to be computed
• verbose —  flag indicating the verbosity level of informative output
• stopping_time_step —  stopping time step
• dt —  time step size for evolution discretizations
• save_time_indices —  save time indices
• want_dual —  want dual
• t —  variable storing timestep currently processed
• operators_output —  operators output
• affinely_decomposed —  affinely decomposed
• 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.
• operators_ptr —  operators ptr
• debug —  flag indicating wether debug output shall be turned on
• name_output_functional —  name output functional

Optional fields of model:

• starting_time_step —  starting time step for simulation (for example in t-partition). Default value is 0.
• stopping_tim_step —  stopping time step for simulation

Generated fields of sim_data:

• U —  U
• time —  time
• time_indices —  time indices
• y —  y

Definition at line 17 of file lin_evol_detailed_simulation_primal_dual.m.

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