QuantLib: ProbabilityBoltzmann Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
ProbabilityBoltzmann Class Reference

Boltzmann Probability. More...

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

## Public Member Functions
| ProbabilityBoltzmann (unsigned long seed=SeedGenerator::instance().get())
| 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 \( \frac{1}{1+exp(-(current-new)/T)} > u \) where \( u \) is drawn from a uniform distribution.