mio::EulerMaruyamaIntegratorCore< FP > Class Template Reference

Simple explicit integration y(t+1) = y(t) + h*f(t,y) + sqrt(h) * noise_f(t,y) for SDE systems. More...

#include <euler_maruyama.h>

Inheritance diagram for mio::EulerMaruyamaIntegratorCore< FP >:

Collaboration diagram for mio::EulerMaruyamaIntegratorCore< FP >:

Public Member Functions
std::unique_ptr< SdeIntegratorCore< FP > >	clone () const override
	EulerMaruyamaIntegratorCore ()
bool	step (const DerivFunction< FP > &f, const DerivFunction< FP > &noise_f, Eigen::Ref< const Eigen::VectorX< FP >> yt, FP &t, FP &dt, Eigen::Ref< Eigen::VectorX< FP >> ytp1) const override
	Fixed step width integrator for stochastic models. More...
Public Member Functions inherited from mio::IntegratorCore< FP, Integrands >
	IntegratorCore (const FP &dt_min, const FP &dt_max)
	Initialize an IntegratorCore. More...
virtual bool	step (const Integrands &... fs, Eigen::Ref< const Eigen::VectorX< FP >> yt, FP &t, FP &dt, Eigen::Ref< Eigen::VectorX< FP >> ytp1) const =0
	Make a single integration step. More...
virtual	~IntegratorCore ()
FP &	get_dt_min ()
	Access lower bound to the step size dt. More...
const FP &	get_dt_min () const
	Access lower bound to the step size dt. More...
FP &	get_dt_max ()
	Access upper bound to the step size dt. More...
const FP &	get_dt_max () const
	Access upper bound to the step size dt. More...

Detailed Description

template<typename FP>
class mio::EulerMaruyamaIntegratorCore< FP >

Simple explicit integration y(t+1) = y(t) + h*f(t,y) + sqrt(h) * noise_f(t,y) for SDE systems.

Template Parameters

FP	A floating point type, e.g., ScalarType.

Constructor & Destructor Documentation

EulerMaruyamaIntegratorCore()

template<typename FP >

mio::EulerMaruyamaIntegratorCore< FP >::EulerMaruyamaIntegratorCore ( )

inline

Member Function Documentation

clone()

template<typename FP >

std::unique_ptr<SdeIntegratorCore<FP> > mio::EulerMaruyamaIntegratorCore< FP >::clone ( ) const

inlineoverridevirtual

Implements mio::IntegratorCore< FP, Integrands >.

step()

template<typename FP >

bool mio::EulerMaruyamaIntegratorCore< FP >::step ( const DerivFunction< FP > &  f, const DerivFunction< FP > &  noise_f, Eigen::Ref< const Eigen::VectorX< FP >>  yt, FP &  t, FP &  dt, Eigen::Ref< Eigen::VectorX< FP >>  ytp1  ) const

inlineoverride

Fixed step width integrator for stochastic models.

Expects population-based integrands, i.e. not flows.

Parameters

[in]	f	Deterministic part of the stochastic differential equation.
[in]	noise_f	Stochastic part of the stochastic differential equation.
[in]	yt	Value of y at t, y(t).
[in,out]	t	Current time. Overwritten with t+dt.
[in]	dt	Current time step size h=dt.
[out]	ytp1	The approximated value of y(t+dt).