DiffEq - Modern C++ ODE Integration Library 1.0.0
High-performance C++ library for solving ODEs with async signal processing
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Implicit Euler-Maruyama method. More...
#include <implicit_euler_maruyama.hpp>
Public Types | |
using | base_type = sde::AbstractSDEIntegrator< StateType > |
using | state_type = typename base_type::state_type |
using | time_type = typename base_type::time_type |
using | value_type = typename base_type::value_type |
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using | state_type = StateType |
using | time_type = typename StateType::value_type |
using | value_type = typename StateType::value_type |
using | sde_problem_type = SDEProblem< StateType > |
using | wiener_process_type = WienerProcess< StateType > |
Public Member Functions | |
ImplicitEulerMaruyamaIntegrator (std::shared_ptr< typename base_type::sde_problem_type > problem, std::shared_ptr< typename base_type::wiener_process_type > wiener=nullptr, int max_iterations=10, value_type tolerance=1e-8) | |
void | step (state_type &state, time_type dt) override |
std::string | name () const override |
void | set_iteration_parameters (int max_iterations, value_type tolerance) |
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AbstractSDEIntegrator (std::shared_ptr< sde_problem_type > problem, std::shared_ptr< wiener_process_type > wiener=nullptr) | |
void | integrate (state_type &state, time_type dt, time_type end_time) |
time_type | current_time () const |
void | set_time (time_type t) |
std::shared_ptr< sde_problem_type > | get_problem () const |
std::shared_ptr< wiener_process_type > | get_wiener_process () const |
void | set_wiener_process (std::shared_ptr< wiener_process_type > wiener) |
Additional Inherited Members | |
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void | advance_time (time_type dt) |
virtual size_t | get_default_dimension () |
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std::shared_ptr< sde_problem_type > | problem_ |
std::shared_ptr< wiener_process_type > | wiener_ |
time_type | current_time_ |
Implicit Euler-Maruyama method.
Implicit version for better stability with stiff SDEs: X_{n+1} = X_n + f(t_{n+1}, X_{n+1}) * dt + g(t_n, X_n) * dW_n
Uses fixed-point iteration to solve the implicit equation.
Definition at line 19 of file implicit_euler_maruyama.hpp.
using diffeq::ImplicitEulerMaruyamaIntegrator< StateType >::base_type = sde::AbstractSDEIntegrator<StateType> |
Definition at line 21 of file implicit_euler_maruyama.hpp.
using diffeq::ImplicitEulerMaruyamaIntegrator< StateType >::state_type = typename base_type::state_type |
Definition at line 22 of file implicit_euler_maruyama.hpp.
using diffeq::ImplicitEulerMaruyamaIntegrator< StateType >::time_type = typename base_type::time_type |
Definition at line 23 of file implicit_euler_maruyama.hpp.
using diffeq::ImplicitEulerMaruyamaIntegrator< StateType >::value_type = typename base_type::value_type |
Definition at line 24 of file implicit_euler_maruyama.hpp.
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inlineexplicit |
Definition at line 26 of file implicit_euler_maruyama.hpp.
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inlineoverridevirtual |
Implements diffeq::sde::AbstractSDEIntegrator< StateType >.
Definition at line 102 of file implicit_euler_maruyama.hpp.
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inline |
Definition at line 106 of file implicit_euler_maruyama.hpp.
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inlineoverridevirtual |
Implements diffeq::sde::AbstractSDEIntegrator< StateType >.
Definition at line 35 of file implicit_euler_maruyama.hpp.