QuantLib_ProbabilityBoltzmann man page

ProbabilityBoltzmann — Boltzmann Probability.

Synopsis

#include <ql/experimental/math/hybridsimulatedannealingfunctors.hpp>

Public Member Functions

ProbabilityBoltzmann (unsigned long seed)

ProbabilityBoltzmann (const ProbabilityBoltzmann &probability)

bool operator() (Real currentValue, Real newValue, const Array &temp) const

Detailed Description

Boltzmann Probability.

The probability of accepting a new point is sampled from a Boltzmann distribution. A point is accepted if $ ac{1}{1+exp(-(current-new)/T)} > u $ where $ u $ is drawn from a uniform distribution.

Author

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Referenced By

ProbabilityBoltzmann(3) is an alias of QuantLib_ProbabilityBoltzmann(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib