Tool function to construct the quadratic form \(x'Qx + b'x + l2\) to be minimized under some constraint depending on l1. This is used to construct the IFSM operator.
ifsm.setQF(u, s, a)List of elements
the matrix of the quadratic form
the matrix of the quadratic form
the L1 norm of the target function
the L2 norm of the target function
the integral of the target function
the vector of values of the target function u
the vector of coefficients \(s_i\) in: \(w_i = s_i *x + a_i\)
the vector of coefficients \(a_i\) in: \(w_i = s_i *x + a_i\)
S. M. Iacus
This operator is intended to approximate a function on L2[0,1]. If `u' is simulated, then the IFSM can be used to simulate a IFSM version of `u'.
Iacus, S.M, La Torre, D. (2005) IFSM representation of Brownian motion with applications to simulation, forthcoming.
IFSM