lpoly_sde: LPoly System Implicit SDE Simulator using NLOPT

Description Usage Arguments

View source: R/RcppExports.R

Description

Simulates a trajectory to the SDE specified by *sys* and the noise level sigma, starting at the point start and integrating over times [*from*,*to*] on *steps + 1* time points.

Usage

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lpoly_sde(sys, sigma, start, from, to, steps, x_tol = 0,
  algorithm = "LBFGS")

Arguments

sys

lpoly_system_type XPtr object created with lpoly_make_system

sigma

Amplitude of noise: scalar

start

Initial position: n vector

from

Initial time: scalar

to

Final time: scalar

steps

Number of points to take, s.t. dt = (from - to) / (steps + 1): integer


rossklin/SimpleSDESampler documentation built on May 27, 2019, 11:37 p.m.