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diffeq::MilsteinIntegrator< StateType > Class Template Reference
Milstein method for SDEs. More...
#include <milstein.hpp>
Inheritance diagram for diffeq::MilsteinIntegrator< StateType >:
Collaboration diagram for diffeq::MilsteinIntegrator< StateType >:
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 |
| using | diffusion_derivative_function = std::function< void(time_type, const state_type &, state_type &)> |
 Public Types inherited from diffeq::sde::AbstractSDEIntegrator< StateType > | |
| 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 | |
| MilsteinIntegrator (std::shared_ptr< typename base_type::sde_problem_type > problem, diffusion_derivative_function diffusion_derivative, std::shared_ptr< typename base_type::wiener_process_type > wiener=nullptr) | |
| void | step (state_type &state, time_type dt) override |
| std::string | name () const override |
| Public Member Functions inherited from diffeq::sde::AbstractSDEIntegrator< StateType > | |
| 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 | |
| Protected Member Functions inherited from diffeq::sde::AbstractSDEIntegrator< StateType > | |
| void | advance_time (time_type dt) |
| virtual size_t | get_default_dimension () |
| Protected Attributes inherited from diffeq::sde::AbstractSDEIntegrator< StateType > | |
| std::shared_ptr< sde_problem_type > | problem_ |
| std::shared_ptr< wiener_process_type > | wiener_ |
| time_type | current_time_ |
Detailed Description
template<system_state StateType>
class diffeq::MilsteinIntegrator< StateType >
class diffeq::MilsteinIntegrator< StateType >
Milstein method for SDEs.
First-order strong method with correction term: X_{n+1} = X_n + f(t_n, X_n) * dt + g(t_n, X_n) * dW_n + 0.5 * g(t_n, X_n) * g'(t_n, X_n) * (dW_n^2 - dt)
Strong order: 1.0 Weak order: 1.0
Note: Requires derivative of diffusion function g'(t, X)
Definition at line 22 of file milstein.hpp.
Member Typedef Documentation
◆ base_type
template<system_state StateType>
| using diffeq::MilsteinIntegrator< StateType >::base_type = sde::AbstractSDEIntegrator<StateType> |
Definition at line 24 of file milstein.hpp.
◆ diffusion_derivative_function
template<system_state StateType>
| using diffeq::MilsteinIntegrator< StateType >::diffusion_derivative_function = std::function<void(time_type, const state_type&, state_type&)> |
Definition at line 30 of file milstein.hpp.
◆ state_type
template<system_state StateType>
| using diffeq::MilsteinIntegrator< StateType >::state_type = typename base_type::state_type |
Definition at line 25 of file milstein.hpp.
◆ time_type
template<system_state StateType>
| using diffeq::MilsteinIntegrator< StateType >::time_type = typename base_type::time_type |
Definition at line 26 of file milstein.hpp.
◆ value_type
template<system_state StateType>
| using diffeq::MilsteinIntegrator< StateType >::value_type = typename base_type::value_type |
Definition at line 27 of file milstein.hpp.
Constructor & Destructor Documentation
◆ MilsteinIntegrator()
template<system_state StateType>
|
inlineexplicit |
Definition at line 32 of file milstein.hpp.
Member Function Documentation
◆ name()
template<system_state StateType>
|
inlineoverridevirtual |
Implements diffeq::sde::AbstractSDEIntegrator< StateType >.
Definition at line 77 of file milstein.hpp.
◆ step()
template<system_state StateType>
|
inlineoverridevirtual |
Implements diffeq::sde::AbstractSDEIntegrator< StateType >.
Definition at line 38 of file milstein.hpp.
The documentation for this class was generated from the following file:
- include/integrators/sde/milstein.hpp
