lin_evol_primal_dual_gen_detailed_data.m File Reference

detailed_data = lin_evol_primal_dual_gen_detailed_data(model, model_data) More...

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Functions
function detailed_data =	lin_evol_primal_dual_gen_detailed_data (model, model_data)
	detailed_data = lin_evol_primal_dual_gen_detailed_data(model, model_data) More...

Detailed Description

detailed_data = lin_evol_primal_dual_gen_detailed_data(model, model_data)

Definition in file lin_evol_primal_dual_gen_detailed_data.m.

Function Documentation

function detailed_data = lin_evol_primal_dual_gen_detailed_data	(		model,
			model_data
	)

detailed_data = lin_evol_primal_dual_gen_detailed_data(model, model_data)

function generating both primal and dual detailed_data. Further writes

both detailed_data_primal and detailed_data_dual into one structure

detailed_data. Used for the improved output and output estimator using the dual problem.

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.

Parameters

model	model
model_data	model data

Return values

detailed_data

detailed data

Required fields of model:

• dual_RB_stop_epsilon —  dual RB stop epsilon
• dual_RB_stop_Nmax —  dual RB stop Nmax
• dual_RB_stop_timeout —  dual RB stop timeout

Generated fields of detailed_data:

• dual_RB —  dual RB
• dual_RB_info —  dual RB info
• dual_N —  dual N
• dual_L_I_comp —  dual L I comp
• dual_L_E_comp —  dual L E comp
• dual_b_comp —  dual b comp

Definition at line 17 of file lin_evol_primal_dual_gen_detailed_data.m.

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