thomas_algorithm: Solving tridiagonal linear systems fast
In shill1729/FeynmanKacSolver: Feynman-Kac PDE solver for Ito diffusions and processes
Description
Usage
Arguments
Details
Value
View source: R/thomas_algorithm.R
Description
Thomas algorithm for solving tridiagonal systems fast without inverting any matrices.
Usage
1
thomas_algorithm(alpha, beta, delta, b.vec)
Arguments
alpha
lower diagonal
beta
diagonal
delta
upper diagonal
b.vec
the auxillary vectory in "Ax=b"
Details
The algorithm is fairly well known, i.e. on wikipedia and not complicated to implement. The tridiagonal system allows one to use back-substitution.
Value
vector
shill1729/FeynmanKacSolver documentation built on May 19, 2020, 8:23 p.m.
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Description Usage Arguments Details Value
View source: R/thomas_algorithm.R
Description
Thomas algorithm for solving tridiagonal systems fast without inverting any matrices.
Usage
1 | thomas_algorithm(alpha, beta, delta, b.vec)
|
Arguments
alpha |
lower diagonal |
beta |
diagonal |
delta |
upper diagonal |
b.vec |
the auxillary vectory in "Ax=b" |
Details
The algorithm is fairly well known, i.e. on wikipedia and not complicated to implement. The tridiagonal system allows one to use back-substitution.
Value
vector
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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