Definition at line 21 of file StochasticProcess.hpp.
Public Member Functions | |
| StochasticProcess () | |
| Default constructor. | |
| StochasticProcess (const unsigned int N) | |
| Constructor. | |
| virtual | ~StochasticProcess () |
| Destructor. | |
| unsigned int | getDimensions () const |
| Get the dimensionality of the process. | |
| virtual void | setDimensions (const unsigned int N, const bool preserve=false)=0 |
| Set the dimensionality of the process. | |
| virtual const vector & | getDrift ()=0 |
| Get the drift of the process. | |
| virtual const symmetric_matrix & | getDiffusion ()=0 |
| Get the diffusion of the process. | |
| virtual vector | getExpectation (const T delta)=0 |
| Get the expected value of the process after a given time. | |
| virtual symmetric_matrix | getCovariance (const T delta)=0 |
| Get the covariance of the process after a given time. | |
| virtual vector | sample (const T delta)=0 |
| Sample from the process. | |
| virtual double | densityAt (const T delta, const vector &x)=0 |
| Calculate the density of the distribution at a given point after a given time has elapsed. | |
Protected Attributes | |
| unsigned int | N |
 ; number of dimensions. | |
| StochasticProcess | ( | ) | [inline] |
Default constructor.
Initialises the process with zero dimensions. This should generally only be used when the object is to be restored from a serialization.
Definition at line 141 of file StochasticProcess.hpp.
| StochasticProcess | ( | const unsigned int | N | ) | [inline] |
Constructor.
| N | ; number of dimensions of the process. |
Definition at line 146 of file StochasticProcess.hpp.
| ~StochasticProcess | ( | ) | [inline, virtual] |
| unsigned int getDimensions | ( | ) | const [inline] |
| virtual void setDimensions | ( | const unsigned int | N, | |
| const bool | preserve = false | |||
| ) | [pure virtual] |
Set the dimensionality of the process.
| N | Dimensionality of the process. | |
| preserve | True to preserve the current sufficient statistics of the process in the lower dimensional space, false if these may be discarded. |
Implemented in WienerProcess, and WienerProcess< double >.
| virtual const vector& getDrift | ( | ) | [pure virtual] |
Get the drift of the process.
Implemented in WienerProcess, and WienerProcess< double >.
| virtual const symmetric_matrix& getDiffusion | ( | ) | [pure virtual] |
Get the diffusion of the process.
Implemented in WienerProcess, and WienerProcess< double >.
| virtual vector getExpectation | ( | const T | delta | ) | [pure virtual] |
Get the expected value of the process after a given time.
| delta |  ; time step. |
; expected value of the process after time . Implemented in WienerProcess, and WienerProcess< double >.
| virtual symmetric_matrix getCovariance | ( | const T | delta | ) | [pure virtual] |
Get the covariance of the process after a given time.
| delta | ; time step. |
; covariance of the process after time . Implemented in WienerProcess, and WienerProcess< double >.
| virtual vector sample | ( | const T | delta | ) | [pure virtual] |
Sample from the process.
| delta | ; time step. |
. Implemented in WienerProcess, and WienerProcess< double >.
| virtual double densityAt | ( | const T | delta, | |
| const vector & | x | |||
| ) | [pure virtual] |
Calculate the density of the distribution at a given point after a given time has elapsed.
| delta | ; elapsed time. | |
| x |  ; the point at which to calculate the density. |
after time . Implemented in WienerProcess, and WienerProcess< double >.
unsigned int N [protected] |
1.5.3