synthetic.dataset.quick: Generate Synthetic Dataset: optimised for Laurent polynomial...

Description Usage Arguments

View source: R/synthetic.dataset.R

Description

Simulate sample trajectories of an SDE and store the results in a time.table

Usage

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synthetic.dataset.quick(num.entities = 10, sys = lpoly_examples_lorenz(),
  tmax = 2, steps = 100 * tmax, process.noise.sd = 0,
  observation.noise.sd = 0, do.standardise = F,
  initial.generator = function(i) {    
  rnorm(lpoly_system_specs(sys)$dimension) }, at.times = NULL,
  include.derivatives = FALSE, save.to = NULL, retries = 10,
  .progress = "text", ...)

Arguments

num.entities

Number of sample trajectories to generate.

tmax

End of the time interval to integrate the SDE over.

steps

Number of time steps to use in the integration.

process.noise.sd

Standard deviation of the brownian motion component (set to negative of value to precache noise buf in R, this can be useful if you want deterministic behaviour with respect to a random seed in R).

observation.noise.sd

Standard deviation of synthetic observation noise.

do.standardise

Standardise the output?

initial.generator

Function that takes an index and generates a starting point for a sample SDE trajectory.

sys

lpoly system constructed with lpoly_make_system, see examples.lpsys.lorenz()

at.times

Sequence of times to include in the output.

Produces sample trajectories for an SDE on Ito form: dx(t) = f(x(t)) dt + g(x(t), t) e(t) sqrt(dt) where det.deriv is f and stoch.deriv is g


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