src/DiffEq/OrnsteinUhlenbeck/OrnsteinUhlenbeckCoeffPolicy.hpp file

Ornstein-Uhlenbeck coefficients policies.

Contents

This file defines coefficients policy classes for the Ornstein-Uhlenbeck SDE, defined in DiffEq/OrnsteinUhlenbeck.h.

General requirements on the Ornstein-Uhlenbeck SDE coefficients policy classes:

  • Must define a constructor, which is used to initialize the SDE coefficients, sigmasq, theta, and mu. Required signature:

    CoeffPolicyName(
  tk::ctr::ncomp_t ncomp,
  const std::vector< kw::sde_sigmasq::info::expect::type >& sigmasq_,
  const std::vector< kw::sde_theta::info::expect::type >& theta_,
  const std::vector< kw::sde_mu::info::expect::type >& mu_,
  std::vector< kw::sde_sigmasq::info::expect::type >& sigmasq,
  std::vector< kw::sde_theta::info::expect::type >& theta,
  std::vector< kw::sde_mu::info::expect::type >& mu )

    where

    • ncomp denotes the number of scalar components of the system of the Ornstein-Uhlenbeck SDEs.
    • Constant references to sigmasq_, theta_, and mu_, which denote three vectors of real values used to initialize the parameter vectors of the system of Ornstein-Uhlenbeck SDEs. The length of the vector sigmasq_ must be equal to ncomp*(ncomp+1)/2, while the number of components of the vectors theta_, and mu_, must be equal to ncomp.
    • References to sigmasq, theta, and mu, which denote the parameter vectors to be initialized based on sigmasq_, theta_, and mu_.

  • Must define the static function type(), returning the enum value of the policy option. Example:

    static ctr::CoeffPolicyType type() noexcept {
  return ctr::CoeffPolicyType::CONST_COEFF;
}

    which returns the enum value of the option from the underlying option class, collecting all possible options for coefficients policies.

Namespaces

namespace walker
Walker declarations and definitions.

Classes

class walker::OrnsteinUhlenbeckCoeffConst
Ornstein-Uhlenbeck constant coefficients policity: constants in time.