net.finmath.montecarlo.automaticdifferentiation.forward

Class RandomVariableDifferentiableAD

java.lang.Object

net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD

All Implemented Interfaces:

Serializable, RandomVariableDifferentiableInterface, RandomVariableInterface

public class RandomVariableDifferentiableAD
extends Object
implements RandomVariableDifferentiableInterface

Implementation of RandomVariableDifferentiableInterface using the forward algorithmic differentiation (AD). This class implements the optimized stochastic AD as it is described in ssrn.com/abstract=2995695.

Version:

1.0

Author:

Christian Fries, Stefan Sedlmair

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
RandomVariableDifferentiableAD(double value)
RandomVariableDifferentiableAD(double time, double[] realisations)
RandomVariableDifferentiableAD(RandomVariableInterface randomVariable)
RandomVariableDifferentiableAD(RandomVariableInterface values, List<RandomVariableInterface> arguments, ConditionalExpectationEstimatorInterface estimator, net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator)

Method Summary

Modifier and Type	Method and Description
RandomVariableInterface	abs()
RandomVariableInterface	accrue(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	add(double value)
RandomVariableInterface	add(RandomVariableInterface randomVariable)
RandomVariableInterface	addProduct(RandomVariableInterface factor1, double factor2)
RandomVariableInterface	addProduct(RandomVariableInterface factor1, RandomVariableInterface factor2)
RandomVariableInterface	addRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)
RandomVariableInterface	apply(DoubleBinaryOperator operator, RandomVariableInterface argument)
RandomVariableInterface	apply(DoubleTernaryOperator operator, RandomVariableInterface argument1, RandomVariableInterface argument2)
RandomVariableInterface	apply(DoubleUnaryOperator operator)
RandomVariableInterface	average()
RandomVariableInterface	barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, double valueIfTriggerNegative)
RandomVariableInterface	barrier(RandomVariableInterface trigger, RandomVariableInterface valueIfTriggerNonNegative, RandomVariableInterface valueIfTriggerNegative)
RandomVariableInterface	cache()
RandomVariableInterface	cap(double cap)
RandomVariableInterface	cap(RandomVariableInterface cap)
RandomVariableInterface	cos()
RandomVariableInterface	discount(RandomVariableInterface rate, double periodLength)
RandomVariableInterface	div(double value)
RandomVariableInterface	div(RandomVariableInterface randomVariable)
Double	doubleValue()
boolean	equals(RandomVariableInterface randomVariable)
RandomVariableInterface	exp()
RandomVariableInterface	floor(double floor)
RandomVariableInterface	floor(RandomVariableInterface floor)
double	get(int pathOrState)
double	getAverage()
double	getAverage(RandomVariableInterface probabilities)
RandomVariableInterface	getConditionalExpectation(ConditionalExpectationEstimatorInterface estimator)
double	getFiltrationTime()
Map<Long,RandomVariableInterface>	getGradient(Set<Long> independentIDs) Returns the gradient of this random variable with respect to all its leaf nodes.
double[]	getHistogram(double[] intervalPoints)
double[][]	getHistogram(int numberOfPoints, double standardDeviations)
Long	getID() A unique id for this random variable.
double	getMax()
RandomVariableInterface	getMaxAsRandomVariableAAD()
double	getMin()
RandomVariableInterface	getMinAsRandomVariableAAD()
IntToDoubleFunction	getOperator()
net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorTreeNode	getOperatorTreeNode()
double	getQuantile(double quantile)
double	getQuantile(double quantile, RandomVariableInterface probabilities)
double	getQuantileExpectation(double quantileStart, double quantileEnd)
RandomVariableInterface	getRandomVariable()
double[]	getRealizations()
DoubleStream	getRealizationsStream()
double	getSampleVariance()
RandomVariableInterface	getSampleVarianceAsRandomVariableAAD()
double	getStandardDeviation()
double	getStandardDeviation(RandomVariableInterface probabilities)
RandomVariableInterface	getStandardDeviationAsRandomVariableAAD()
double	getStandardError()
double	getStandardError(RandomVariableInterface probabilities)
RandomVariableInterface	getStandardErrorAsRandomVariableAAD()
Map<Long,RandomVariableInterface>	getTangents() Returns the tangents of this random variable with respect to all its dependent nodes.
Map<Long,RandomVariableInterface>	getTangents(Set<Long> dependentIDs) Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent).
double	getVariance()
double	getVariance(RandomVariableInterface probabilities)
RandomVariableInterface	getVarianceAsRandomVariableAAD()
RandomVariableInterface	invert()
boolean	isDeterministic()
RandomVariableInterface	isNaN()
RandomVariableInterface	log()
RandomVariableInterface	mult(double value)
RandomVariableDifferentiableInterface	mult(RandomVariableInterface randomVariable)
static RandomVariableDifferentiableAD	of(double value)
static RandomVariableDifferentiableAD	of(RandomVariableInterface randomVariable)
RandomVariableInterface	pow(double exponent)
RandomVariableInterface	sin()
int	size()
RandomVariableInterface	sqrt()
RandomVariableInterface	squared()
RandomVariableInterface	sub(double value)
RandomVariableInterface	sub(RandomVariableInterface randomVariable)
RandomVariableInterface	subRatio(RandomVariableInterface numerator, RandomVariableInterface denominator)

Methods inherited from class java.lang.Object

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

Methods inherited from interface net.finmath.montecarlo.automaticdifferentiation.RandomVariableDifferentiableInterface

getCloneIndependent, getGradient

Methods inherited from interface net.finmath.stochastic.RandomVariableInterface

addSumProduct

Constructor Detail

RandomVariableDifferentiableAD

public RandomVariableDifferentiableAD(double value)

RandomVariableDifferentiableAD

public RandomVariableDifferentiableAD(double time,
                                      double[] realisations)

RandomVariableDifferentiableAD

public RandomVariableDifferentiableAD(RandomVariableInterface randomVariable)

RandomVariableDifferentiableAD

public RandomVariableDifferentiableAD(RandomVariableInterface values,
                                      List<RandomVariableInterface> arguments,
                                      ConditionalExpectationEstimatorInterface estimator,
                                      net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorType operator)

Method Detail

of

public static RandomVariableDifferentiableAD of(double value)

of

public static RandomVariableDifferentiableAD of(RandomVariableInterface randomVariable)

getRandomVariable

public RandomVariableInterface getRandomVariable()

getOperatorTreeNode

public net.finmath.montecarlo.automaticdifferentiation.forward.RandomVariableDifferentiableAD.OperatorTreeNode getOperatorTreeNode()

getID

public Long getID()

Description copied from interface: RandomVariableDifferentiableInterface

A unique id for this random variable. Will be used in getGradient.

Specified by:

getID in interface RandomVariableDifferentiableInterface

Returns:

The id for this random variable.

getGradient

public Map<Long,RandomVariableInterface> getGradient(Set<Long> independentIDs)

Returns the gradient of this random variable with respect to all its leaf nodes. The method calculated the map \( v \mapsto \frac{d u}{d v} \) where \( u \) denotes this. Performs a backward automatic differentiation.

Specified by:

getGradient in interface RandomVariableDifferentiableInterface

Parameters:

independentIDs - Set of IDs of random variables \( v \) with respect to which the gradients \( \frac{d u}{d v} \) will be calculated. If null, derivatives w.r.t. all known independents are returned.

Returns:

The gradient map.

getTangents

public Map<Long,RandomVariableInterface> getTangents(Set<Long> dependentIDs)

Description copied from interface: RandomVariableDifferentiableInterface

Returns the tangents of this random variable with respect to the given dependent node IDs (if dependent). The method calculated the map \( u \mapsto \frac{d u}{d v} \) where \( v \) denotes this.

Specified by:

getTangents in interface RandomVariableDifferentiableInterface

Parameters:

dependentIDs - Set of IDs of random variables \( u \) with respect to which the differentials \( \frac{d u}{d v} \) will be calculated. If null, derivatives w.r.t. all known dependents are returned.

Returns:

The map of differentials.

equals

public boolean equals(RandomVariableInterface randomVariable)

Specified by:

equals in interface RandomVariableInterface

getFiltrationTime

public double getFiltrationTime()

Specified by:

getFiltrationTime in interface RandomVariableInterface

get

public double get(int pathOrState)

Specified by:

get in interface RandomVariableInterface

size

public int size()

Specified by:

size in interface RandomVariableInterface

isDeterministic

public boolean isDeterministic()

Specified by:

isDeterministic in interface RandomVariableInterface

getRealizations

public double[] getRealizations()

Specified by:

getRealizations in interface RandomVariableInterface

doubleValue

public Double doubleValue()

Specified by:

doubleValue in interface RandomVariableInterface

getMin

public double getMin()

Specified by:

getMin in interface RandomVariableInterface

getMax

public double getMax()

Specified by:

getMax in interface RandomVariableInterface

getAverage

public double getAverage()

Specified by:

getAverage in interface RandomVariableInterface

getAverage

public double getAverage(RandomVariableInterface probabilities)

Specified by:

getAverage in interface RandomVariableInterface

getVariance

public double getVariance()

Specified by:

getVariance in interface RandomVariableInterface

getVariance

public double getVariance(RandomVariableInterface probabilities)

Specified by:

getVariance in interface RandomVariableInterface

getSampleVariance

public double getSampleVariance()

Specified by:

getSampleVariance in interface RandomVariableInterface

getStandardDeviation

public double getStandardDeviation()

Specified by:

getStandardDeviation in interface RandomVariableInterface

getStandardDeviation

public double getStandardDeviation(RandomVariableInterface probabilities)

Specified by:

getStandardDeviation in interface RandomVariableInterface

getStandardError

public double getStandardError()

Specified by:

getStandardError in interface RandomVariableInterface

getStandardError

public double getStandardError(RandomVariableInterface probabilities)

Specified by:

getStandardError in interface RandomVariableInterface

getQuantile

public double getQuantile(double quantile)

Specified by:

getQuantile in interface RandomVariableInterface

getQuantile

public double getQuantile(double quantile,
                          RandomVariableInterface probabilities)

Specified by:

getQuantile in interface RandomVariableInterface

getQuantileExpectation

public double getQuantileExpectation(double quantileStart,
                                     double quantileEnd)

Specified by:

getQuantileExpectation in interface RandomVariableInterface

getHistogram

public double[] getHistogram(double[] intervalPoints)

Specified by:

getHistogram in interface RandomVariableInterface

getHistogram

public double[][] getHistogram(int numberOfPoints,
                               double standardDeviations)

Specified by:

getHistogram in interface RandomVariableInterface

cache

public RandomVariableInterface cache()

Specified by:

cache in interface RandomVariableInterface

cap

public RandomVariableInterface cap(double cap)

Specified by:

cap in interface RandomVariableInterface

floor

public RandomVariableInterface floor(double floor)

Specified by:

floor in interface RandomVariableInterface

add

public RandomVariableInterface add(double value)

Specified by:

add in interface RandomVariableInterface

sub

public RandomVariableInterface sub(double value)

Specified by:

sub in interface RandomVariableInterface

mult

public RandomVariableInterface mult(double value)

Specified by:

mult in interface RandomVariableInterface

div

public RandomVariableInterface div(double value)

Specified by:

div in interface RandomVariableInterface

pow

public RandomVariableInterface pow(double exponent)

Specified by:

pow in interface RandomVariableInterface

average

public RandomVariableInterface average()

Specified by:

average in interface RandomVariableInterface

getConditionalExpectation

public RandomVariableInterface getConditionalExpectation(ConditionalExpectationEstimatorInterface estimator)

Specified by:

getConditionalExpectation in interface RandomVariableInterface

squared

public RandomVariableInterface squared()

Specified by:

squared in interface RandomVariableInterface

sqrt

public RandomVariableInterface sqrt()

Specified by:

sqrt in interface RandomVariableInterface

exp

public RandomVariableInterface exp()

Specified by:

exp in interface RandomVariableInterface

log

public RandomVariableInterface log()

Specified by:

log in interface RandomVariableInterface

sin

public RandomVariableInterface sin()

Specified by:

sin in interface RandomVariableInterface

cos

public RandomVariableInterface cos()

Specified by:

cos in interface RandomVariableInterface

add

public RandomVariableInterface add(RandomVariableInterface randomVariable)

Specified by:

add in interface RandomVariableInterface

sub

public RandomVariableInterface sub(RandomVariableInterface randomVariable)

Specified by:

sub in interface RandomVariableInterface

mult

public RandomVariableDifferentiableInterface mult(RandomVariableInterface randomVariable)

Specified by:

mult in interface RandomVariableInterface

div

public RandomVariableInterface div(RandomVariableInterface randomVariable)

Specified by:

div in interface RandomVariableInterface

cap

public RandomVariableInterface cap(RandomVariableInterface cap)

Specified by:

cap in interface RandomVariableInterface

floor

public RandomVariableInterface floor(RandomVariableInterface floor)

Specified by:

floor in interface RandomVariableInterface

accrue

public RandomVariableInterface accrue(RandomVariableInterface rate,
                                      double periodLength)

Specified by:

accrue in interface RandomVariableInterface

discount

public RandomVariableInterface discount(RandomVariableInterface rate,
                                        double periodLength)

Specified by:

discount in interface RandomVariableInterface

barrier

public RandomVariableInterface barrier(RandomVariableInterface trigger,
                                       RandomVariableInterface valueIfTriggerNonNegative,
                                       RandomVariableInterface valueIfTriggerNegative)

Specified by:

barrier in interface RandomVariableInterface

barrier

public RandomVariableInterface barrier(RandomVariableInterface trigger,
                                       RandomVariableInterface valueIfTriggerNonNegative,
                                       double valueIfTriggerNegative)

Specified by:

barrier in interface RandomVariableInterface

invert

public RandomVariableInterface invert()

Specified by:

invert in interface RandomVariableInterface

abs

public RandomVariableInterface abs()

Specified by:

abs in interface RandomVariableInterface

addProduct

public RandomVariableInterface addProduct(RandomVariableInterface factor1,
                                          double factor2)

Specified by:

addProduct in interface RandomVariableInterface

addProduct

public RandomVariableInterface addProduct(RandomVariableInterface factor1,
                                          RandomVariableInterface factor2)

Specified by:

addProduct in interface RandomVariableInterface

addRatio

public RandomVariableInterface addRatio(RandomVariableInterface numerator,
                                        RandomVariableInterface denominator)

Specified by:

addRatio in interface RandomVariableInterface

subRatio

public RandomVariableInterface subRatio(RandomVariableInterface numerator,
                                        RandomVariableInterface denominator)

Specified by:

subRatio in interface RandomVariableInterface

isNaN

public RandomVariableInterface isNaN()

Specified by:

isNaN in interface RandomVariableInterface

getOperator

public IntToDoubleFunction getOperator()

Specified by:

getOperator in interface RandomVariableInterface

getRealizationsStream

public DoubleStream getRealizationsStream()

Specified by:

getRealizationsStream in interface RandomVariableInterface

apply

public RandomVariableInterface apply(DoubleUnaryOperator operator)

Specified by:

apply in interface RandomVariableInterface

apply

public RandomVariableInterface apply(DoubleBinaryOperator operator,
                                     RandomVariableInterface argument)

Specified by:

apply in interface RandomVariableInterface

apply

public RandomVariableInterface apply(DoubleTernaryOperator operator,
                                     RandomVariableInterface argument1,
                                     RandomVariableInterface argument2)

Specified by:

apply in interface RandomVariableInterface

getVarianceAsRandomVariableAAD

public RandomVariableInterface getVarianceAsRandomVariableAAD()

getSampleVarianceAsRandomVariableAAD

public RandomVariableInterface getSampleVarianceAsRandomVariableAAD()

getStandardDeviationAsRandomVariableAAD

public RandomVariableInterface getStandardDeviationAsRandomVariableAAD()

getStandardErrorAsRandomVariableAAD

public RandomVariableInterface getStandardErrorAsRandomVariableAAD()

getMinAsRandomVariableAAD

public RandomVariableInterface getMinAsRandomVariableAAD()

getMaxAsRandomVariableAAD

public RandomVariableInterface getMaxAsRandomVariableAAD()

getTangents

public Map<Long,RandomVariableInterface> getTangents()

Description copied from interface: RandomVariableDifferentiableInterface

Returns the tangents of this random variable with respect to all its dependent nodes. The method calculated the map \( u \mapsto \frac{d u}{d v} \) where \( v \) denotes this.

Specified by:

getTangents in interface RandomVariableDifferentiableInterface

Returns:

The map of all tangents .