alps::alea::linear_prop Struct Reference

#include <propagation.hpp>

Collaboration diagram for alps::alea::linear_prop:

Public Member Functions
	linear_prop ()
	linear_prop (double dx)
double	dx () const

Detailed Description

Perform linaralized error propagation by estimating the Jacobian.

Given a transformation f and a random sample X, estimate the propagated uncertainties by performing a Taylor series and keeping the linear term:

Cov[f(X)] = df/dX Cov[X] (df/dX)^T + O(d^2f/dx^2)

where df/dX is the Jacobian of f at X, as estimated by finite differences of dx. This procedure is exact for linear transformations; for non-linear transformation, it will introduce bias.

See also

alps::alea::jacobian

Definition at line 43 of file propagation.hpp.

Constructor & Destructor Documentation

alps::alea::linear_prop::linear_prop ( )

inline

Definition at line 45 of file propagation.hpp.

alps::alea::linear_prop::linear_prop ( double  dx )

inline

Definition at line 47 of file propagation.hpp.

Member Function Documentation

double alps::alea::linear_prop::dx ( ) const

inline

Definition at line 49 of file propagation.hpp.

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The documentation for this struct was generated from the following file:

• alps/alea/propagation.hpp