exact_algorithm_exp_4: Exact Algorithm for langevin diffusion with pi =...

In rchan26/exp4FusionRCPP: Hierarchical and Sequential Monte Carlo Fusion for exp(-(x^4)/2)

Description

Simulate langevin diffusion using the Exact Algorithm with pi = exp(-(beta*(x-mean)^4)/2)

Usage

exact_algorithm_exp_4(x0, y, s, t, K, mean, beta)

Arguments

x0	start value
y	end value
s	start time
t	end time
K	lower bound of the phi function
mean	mean value
beta	real value

Value

matrix holding skeleton of the langevin diffusion with pi = exp(-(beta*(x-mean)^4)/2)

Examples

lower_bound <- optimise(function(x) phi_function_exp_4(x, beta = 1/2), interval = c(0, 100), maximum = FALSE)$objective
test <- exact_algorithm_exp_4(x0 = 0, y = 0.3, s = 0, t = 1, K = lower_bound, beta = 1/2)
plot(x = test['time',], y = test['X',], type = 'l')

rchan26/exp4FusionRCPP documentation built on Nov. 6, 2019, 7:01 p.m.