diff options
Diffstat (limited to 'src/main.cpp')
| -rw-r--r-- | src/main.cpp | 34 |
1 files changed, 24 insertions, 10 deletions
diff --git a/src/main.cpp b/src/main.cpp index 561b8c2..fb6df08 100644 --- a/src/main.cpp +++ b/src/main.cpp @@ -45,22 +45,36 @@ x = 1.64*S.estimator().second; void exemple2 (){ - std::vector<double> mu(16); - mu = argmax(0.05, 1.0, 50, 0.1, 45, 16); + int d= 16; + std::vector<double> mu(d); + mu = argmax(0.05, 1.0, 50, 0.1, 45, d); double norm_mu = 0; - std::vector<double> u(16); - for(int i=0; i<16; i++) { + std::vector<double> u(d); + for(int i=0; i<d; i++) { norm_mu += mu[i]*mu[i]; - u[i] = mu[i]/norm_mu; + } + for(int i=0; i<d; i++) { + u[i] = mu[i]/sqrt(norm_mu); } vector<double> q = quantile_norm(100, 1); vector<double> p(100, 0.01); - asian_option A(0.05, 1.0, 50, 0.1, 45, 16); + asian_option A(0.05, 1.0, 50, 0.1, d, 45); f_mu G(mu,A); - multi_gaussian_truncated MG(q[50],q[51], u); - for(int i=0; i<10; i++){ - std::cout<<G(MG())<<std::endl; - } + std::vector<compose_t <f_mu, multi_gaussian_truncated> > X; + X.push_back(compose(G, multi_gaussian_truncated(GSL_NEGINF,q[0], u))); + for(int i=1; i<100; i++) { + X.push_back(compose(G, multi_gaussian_truncated(q[i-1],q[i], u))); + } + for(int i=0; i<100; i=i+10){ + std::cout<<X[i]()<<endl; + } + stratified_sampling<compose_t <f_mu, multi_gaussian_truncated> > S(p, X); + S.draw(1000); + cout<<"l'estimateur de la moyenne est :"<<S.estimator().first<<endl; + //~ compose_t <f_mu, multi_gaussian_truncated> X = compose(G,MG); + //~ for(int i=0; i<10; i++){ + //~ std::cout<<X()<<std::endl; + //~ } } |