QuantLib_SamplerCauchy man page

SamplerCauchy — Cauchy Sampler.


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

Public Member Functions

SamplerCauchy (unsigned long seed)

SamplerCauchy (const SamplerCauchy &sampler)

void operator() (Array &newPoint, const Array &currentPoint, const Array &temp) const

Protected Attributes

base_generator_type generator_

cauchy_random distribution_

cauchy_variate cauchy_

Detailed Description

Cauchy Sampler.

Sample from cauchy distribution. This means that the parameter space must have support on the positive whole real line. For lower dimensions it could be faster than the Gaussian sampler, specially when combined with the Cauchy temperature.


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Referenced By

cauchy_(3), distribution_(3), generator_(3) and SamplerCauchy(3) are aliases of QuantLib_SamplerCauchy(3).

QuantLib Version 1.8.1 Fri Sep 23 2016