solve_implicit_sde_averages: General implicit SDE simulator: time-wise averages

In rossklin/SimpleSDESampler: Simple SDE Sampler

Description

General implicit SDE simulator: time-wise averages

Usage

solve_implicit_sde_averages(nrep, d_det, jacobian, sigma, start, from, to,
  steps, x_tol = 0, algorithm = "TNEWTON")

Arguments

nrep	Number of repetitions to average over: integer
d_det	Deterministic component: an R function: m x n matrix of m states -> m x n matrix of m time derivatives
d_stoch	Stochastic component: an R function: (1 x n matrix state, scalar time) -> 1 x n matrix state
jacobian	Jacobian of deterministic component: an R function: (n vector state, scalar time) -> n x n matrix df_i / du_j
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.