test4.cpp File Reference

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Detailed Description

Test of WienerProcess.

This test creates a univariate WienerProcess and simulates several, plotting:

• the actual mean and variance at each point
• the expected mean and variance at each point.
• the mean and variance at each point calculated using importance sampling, so as to test the densityAt() function.

Results are as follows:

Results

Definition in file test4.cpp.

Go to the source code of this file.

Functions
int	main (int argc, const char *argv[])
	Run tests.
Variables
const unsigned int	M = 1
	Dimensionality of the process.
const unsigned int	N = 1000
	Number of sample trajectories.
const unsigned int	LENGTH = 500
	Length of each trajectory.
const unsigned int	DELTA = 3
	Length of time step.
const unsigned int	P = 10000
	Number of importance samples.

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Function Documentation

int main	(	int	argc,
		const char *	argv[]
	)

Run tests.

Definition at line 62 of file test4.cpp.

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Variable Documentation

const unsigned int DELTA = 3

Length of time step.

Definition at line 52 of file test4.cpp.

const unsigned int LENGTH = 500

Length of each trajectory.

Definition at line 47 of file test4.cpp.

const unsigned int M = 1

Dimensionality of the process.

Definition at line 37 of file test4.cpp.

const unsigned int N = 1000

Number of sample trajectories.

Definition at line 42 of file test4.cpp.

const unsigned int P = 10000

Number of importance samples.

Definition at line 57 of file test4.cpp.

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