Generalize RiskAdjustedLinearization to allow jump-dependence in Lambda and Sigma
chenwilliam77 opened this issue · comments
- Need to create RALF3 type for relative entropy to allow 3 input arguments. Also to cache when
(z, y, Psi)
are all Dual and whenz
is a Dual. - Update handling of entropy function to allow for arguments
(zt, Psi, z, y)
. When solving for relative entropy via a nonlinear solver, the mapping will be(z, Psi)
->(z, Psi, z, y + Psi * (z - z))
. When calculating the Jacobian, the mapping will bezt
-> (zt, Psi, z, y + Psi * (zt - z))evaluated at
zt = z`. - Create new type for jump-dependence in Lambda and Sigma