Features:

- Utility Function Private Valuation Ojective (46) - Agent Optimization Utility Function Expectation (47, 48) - Utility Expectation Function Inventory Vertex (49, 50, 51) - Utility Expectation Function Money Market (52, 53) - Utility Expectation Function Evaluate #1 (54, 55, 56) - Utility Expectation Function Evaluate #2 (57, 58) - Utility Expectation Function Evaluate #3 (59, 60) Bug Fixes/Re-organization: - Special Function Definition Riccati Bessel Zita Estimator (1) - Special Function Definition Riccati Bessel Zita Estimator - Evaluate (2) - Special Function Definition Scaled Exponential Estimator (3, 4, 5) - Special Function Definition Scaled Exponential Estimator - Exponent (6, 7) - Special Function Definition Scaled Exponential Estimator - Characteristic Relaxation Time (8, 9) - Special Function Definition Scaled Exponential Estimator - Constructor (10, 11) - Special Function Definition Scaled Exponential Estimator - Evaluate (12, 13) - Special Function Definition Scaled Exponential Estimator - Evaluate Using Density (14, 15, 16) - Special Function Definition Scaled Exponential Estimator - Is Compressed (17) - Special Function Definition Scaled Exponential Estimator - Is Stretched (18) - Special Function Definition Scaled Exponential Estimator - Is Unscaled (19) - Special Function Definition Scaled Exponential Estimator - Is Normal (20) - Special Function Definition Scaled Exponential Estimator - First Moment (21, 22) - Special Function Definition Scaled Exponential Estimator - Higher Moment (23, 24) - Special Function Definition Scaled Exponential Estimator - Higher Moments Using Density #1 (25, 26) - Special Function Definition Scaled Exponential Estimator - Higher Moments Using Density #2 (27, 28) - Special Function Definition Scaled Exponential Estimator - Log Relaxation First Moment (29) - Special Function Definition Spherical Bessel First Kind Estimator (30, 31) - Special Function Definition Spherical Bessel First Kind Estimator - Small J (32) - Special Function Definition Spherical Bessel First Kind Estimator - Evaluate (33) - Special Function Definition Spherical Bessel Second Kind Estimator (34, 35) - Special Function Definition Spherical Bessel Second Kind Estimator - Small Y (36) - Special Function Definition Spherical Bessel First Kind Estimator - Evaluate (37) - Special Function Definition Spherical Hankel First Kind Estimator (38, 39) - Special Function Definition Spherical Hankel First Kind Estimator - Small H1 (40) - Special Function Definition Spherical Hankel First Kind Estimator - Evaluate (41) - Special Function Definition Spherical Bessel Second Kind Estimator - Evaluate (42, 43) - Special Function Definition Spherical Hankel Second Kind Estimator - Small H2 (44) - Special Function Definition Spherical Hankel Second Kind Estimator - Evaluate (45) Samples: IdeaDRIP:
lakshmiDRIP · Feb 4, 2024 · ff32c58 · ff32c58
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diff --git a/ReleaseNotes/06_12_2023.txt b/ReleaseNotes/06_12_2023.txt
@@ -0,0 +1,48 @@
+
+Features:
+
+	- Utility Function Private Valuation Ojective (46)
+	- Agent Optimization Utility Function Expectation (47, 48)
+	- Utility Expectation Function Inventory Vertex (49, 50, 51)
+	- Utility Expectation Function Money Market (52, 53)
+	- Utility Expectation Function Evaluate #1 (54, 55, 56)
+	- Utility Expectation Function Evaluate #2 (57, 58)
+	- Utility Expectation Function Evaluate #3 (59, 60)
+
+
+Bug Fixes/Re-organization:
+
+	- Special Function Definition Riccati Bessel Zita Estimator (1)
+	- Special Function Definition Riccati Bessel Zita Estimator - Evaluate (2)
+	- Special Function Definition Scaled Exponential Estimator (3, 4, 5)
+	- Special Function Definition Scaled Exponential Estimator - Exponent (6, 7)
+	- Special Function Definition Scaled Exponential Estimator - Characteristic Relaxation Time (8, 9)
+	- Special Function Definition Scaled Exponential Estimator - Constructor (10, 11)
+	- Special Function Definition Scaled Exponential Estimator - Evaluate (12, 13)
+	- Special Function Definition Scaled Exponential Estimator - Evaluate Using Density (14, 15, 16)
+	- Special Function Definition Scaled Exponential Estimator - Is Compressed (17)
+	- Special Function Definition Scaled Exponential Estimator - Is Stretched (18)
+	- Special Function Definition Scaled Exponential Estimator - Is Unscaled (19)
+	- Special Function Definition Scaled Exponential Estimator - Is Normal (20)
+	- Special Function Definition Scaled Exponential Estimator - First Moment (21, 22)
+	- Special Function Definition Scaled Exponential Estimator - Higher Moment (23, 24)
+	- Special Function Definition Scaled Exponential Estimator - Higher Moments Using Density #1 (25, 26)
+	- Special Function Definition Scaled Exponential Estimator - Higher Moments Using Density #2 (27, 28)
+	- Special Function Definition Scaled Exponential Estimator - Log Relaxation First Moment (29)
+	- Special Function Definition Spherical Bessel First Kind Estimator (30, 31)
+	- Special Function Definition Spherical Bessel First Kind Estimator - Small J (32)
+	- Special Function Definition Spherical Bessel First Kind Estimator - Evaluate (33)
+	- Special Function Definition Spherical Bessel Second Kind Estimator (34, 35)
+	- Special Function Definition Spherical Bessel Second Kind Estimator - Small Y (36)
+	- Special Function Definition Spherical Bessel First Kind Estimator - Evaluate (37)
+	- Special Function Definition Spherical Hankel First Kind Estimator (38, 39)
+	- Special Function Definition Spherical Hankel First Kind Estimator - Small H1 (40)
+	- Special Function Definition Spherical Hankel First Kind Estimator - Evaluate (41)
+	- Special Function Definition Spherical Bessel Second Kind Estimator - Evaluate (42, 43)
+	- Special Function Definition Spherical Hankel Second Kind Estimator - Small H2 (44)
+	- Special Function Definition Spherical Hankel Second Kind Estimator - Evaluate (45)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/oms/indifference/UtilityFunction.java b/src/main/java/org/drip/oms/indifference/UtilityFunction.java
@@ -114,34 +114,34 @@
 
 public class UtilityFunction
 {
-	private R1ToR1 _agentObjective = null;
+	private R1ToR1 _privateValuationObjective = null;
 
 	/**
 	 * UtilityFunction Constructor
 	 * 
-	 * @param agentObjective Agent Objective Function
+	 * @param privateValuationObjective Agent Objective Function
 	 * 
 	 * @throws Exception Thrown if the Inputs are Invalid
 	 */
 
 	public UtilityFunction (
-		final R1ToR1 agentObjective)
+		final R1ToR1 privateValuationObjective)
 		throws Exception
 	{
-		if (null == (_agentObjective = agentObjective)) {
+		if (null == (_privateValuationObjective = privateValuationObjective)) {
 			throw new Exception ("UtilityFunction Constructor => Invalid Inputs");
 		}
 	}
 
 	/**
-	 * Retrieve the Agent's Objective Function
+	 * Retrieve the Agent's Private Valuation Function
 	 * 
-	 * @return The Agent's Objective Function
+	 * @return The Agent's Private Valuation Function
 	 */
 
-	public R1ToR1 agentObjective()
+	public R1ToR1 privateValuationObjective()
 	{
-		return _agentObjective;
+		return _privateValuationObjective;
 	}
 
 	/**
@@ -162,6 +162,6 @@ public double evaluate (
 			throw new Exception ("UtilityFunction::evaluate => Invald Position Vertex");
 		}
 
-		return _agentObjective.evaluate (positionVertex.value());
+		return _privateValuationObjective.evaluate (positionVertex.value());
 	}
 }
diff --git a/src/main/java/org/drip/oms/indifference/UtilityFunctionExpectation.java b/src/main/java/org/drip/oms/indifference/UtilityFunctionExpectation.java
@@ -1,6 +1,9 @@
 
 package org.drip.oms.indifference;
 
+import org.drip.measure.continuous.R1Univariate;
+import org.drip.measure.discrete.R1Distribution;
+
 /*
  * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
  */
@@ -112,5 +115,114 @@
 
 public class UtilityFunctionExpectation
 {
-	private UtilityFunction _utilityFunction = null;
+	private double _moneyMarketPrice = Double.NaN;
+	private UtilityFunction _agentOptimizer = null;
+	private InventoryVertex _inventoryVertex = null;
+
+	/**
+	 * Retrieve the Agent Optimization Utility Function
+	 * 
+	 * @return Agent Optimization Utility Function
+	 */
+
+	public UtilityFunction agentOptimizer()
+	{
+		return _agentOptimizer;
+	}
+
+	/**
+	 * Retrieve the Inventory Vertex
+	 * 
+	 * @return The Inventory Vertex
+	 */
+
+	public InventoryVertex inventoryVertex()
+	{
+		return _inventoryVertex;
+	}
+
+	/**
+	 * Retrieve the Price of Money Market Entity
+	 * 
+	 * @return Number of Money Market Entity
+	 */
+
+	public double moneyMarketPrice()
+	{
+		return _moneyMarketPrice;
+	}
+
+	/**
+	 * Compute the Agent's Objective Function Value For the Underlier Price
+	 * 
+	 * @param underlierPrice The Underlier Price
+	 * 
+	 * @return The Agent's Objective Function Value For the Underlier Price
+	 * 
+	 * @throws Exception Thrown if the Agent's Objective Function Value cannot be calculated
+	 */
+
+	public double objectiveValue (
+		final double underlierPrice)
+		throws Exception
+	{
+		return _agentOptimizer.evaluate (
+			new PositionVertex (
+				_inventoryVertex,
+				new RealizationVertex (_moneyMarketPrice, underlierPrice),
+				_agentOptimizer.privateValuationObjective()
+			)
+		);
+	}
+
+	/**
+	 * Compute the Expectation of the Agent Utility Function given the Underlier Price Array and Discrete
+	 * 	Distribution
+	 * 
+	 * @param underlierPriceDistribution Discrete Underlier Price Distribution
+	 * @param underlierPriceArray Underlier Price Array
+	 * 
+	 * @return Expectation of the Agent Utility Function
+	 * 
+	 * @throws Exception Thrown if the Inputs are Invalid
+	 */
+
+	public double evaluate (
+		final R1Distribution underlierPriceDistribution,
+		final double[] underlierPriceArray)
+		throws Exception
+	{
+		if (null == underlierPriceDistribution ||
+			null == underlierPriceArray || 0 == underlierPriceArray.length) {
+			throw new Exception ("UtilityFunctionExpectation::evaluate => Invalid Inputs");
+		}
+
+		double utilityFunctionExpectationValue = 0.;
+
+		for (double underlierPrice : underlierPriceArray) {
+			utilityFunctionExpectationValue += underlierPriceDistribution.probability (underlierPrice) *
+				_agentOptimizer.evaluate (
+					new PositionVertex (
+						_inventoryVertex,
+						new RealizationVertex (_moneyMarketPrice, underlierPrice),
+						_agentOptimizer.privateValuationObjective()
+					)
+				);
+		}
+
+		return utilityFunctionExpectationValue;
+	}
+
+	public double evaluate (
+		final R1Univariate underlierPriceDistribution)
+		throws Exception
+	{
+		if (null == underlierPriceDistribution) {
+			throw new Exception ("UtilityFunctionExpectation::evaluate => Invalid Inputs");
+		}
+
+		double utilityFunctionExpectationValue = 0.;
+
+		return utilityFunctionExpectationValue;
+	}
 }