Skip to main content

PdeProblem

solver::numeric::finite_difference::pde

Trait PdeProblem 

Source 
pub trait PdeProblem<const N: usize>: ControlProblem<N> {
    // Required methods
    fn dimension_kind(&self, dim: usize) -> DimensionKind;
    fn transport(
        &self,
        t: f64,
        state: &[f64; N],
        control: &Self::Control,
        derivs: &StateDerivatives<N>,
    ) -> Transport<N>;

    // Provided method
    fn jump_kernel(
        &self,
        _t: f64,
        _state: &[f64; N],
        _control: &Self::Control,
        _derivs: &StateDerivatives<N>,
        transport: &Transport<N>,
    ) -> JumpKernel<N> { ... }
}
Expand description

Finite-difference view of a time-dependent stochastic optimal control problem.

A model that must be solved accurately on a diffusive grid implements this contract in addition to crate::models::control::ControlProblem. The two contracts are kept separate so the generic contract remains solver-agnostic and usable by the BSDE solver.

Required Methods§

Source

fn dimension_kind(&self, dim: usize) -> DimensionKind

Discretization kind for dim.

§Panics

Implementations should return a valid kind for every dim < N.

Source

fn transport( &self, t: f64, state: &[f64; N], control: &Self::Control, derivs: &StateDerivatives<N>, ) -> Transport<N>

Transport and local source for the given control and derivatives.

The solver calls this after crate::models::control::ControlProblem::optimize at each backward step and assembles the implicit operator from the returned coefficients.

Provided Methods§

Source

fn jump_kernel( &self, _t: f64, _state: &[f64; N], _control: &Self::Control, _derivs: &StateDerivatives<N>, transport: &Transport<N>, ) -> JumpKernel<N>

Jump kernel for arbitrary-amplitude jump dimensions.

The default folds Transport::plus/Transport::minus into the unit +1/-1 transitions of the DiscreteJump convention, so models that do not use general jumps are unchanged. Override this only for a DimensionKind::Jump dimension whose amplitudes differ from one.

Dyn Compatibility§

This trait is dyn compatible.

In older versions of Rust, dyn compatibility was called "object safety".

Implementors§