Enabled AAD for conditional expectation.
(This was disabled for testing purposes, e.g. to generate the data in
).
@@ -126,7 +126,7 @@ public class RandomVariableDifferentiableAAD implements RandomVariableDifferenti
// Implementation of CONDITIONAL_EXPECTATION (see <a href="https://ssrn.com/abstract=3000822">ssrn.com/abstract=2995695</a> for details).
if(operatorType == OperatorType.CONDITIONAL_EXPECTATION) {
ConditionalExpectationEstimatorInterface estimator = (ConditionalExpectationEstimatorInterface)operator;
-// derivative = estimator.getConditionalExpectation(derivative);
+ derivative = estimator.getConditionalExpectation(derivative);
}
argumentDerivative = argumentDerivative.addProduct(partialDerivative, derivative);
