diffeq::SRIIntegrator< StateType > Class Template Reference

SRI (Stochastic Runge-Kutta for general Itô SDEs) integrator. More...

#include <sri.hpp>

Inheritance diagram for diffeq::SRIIntegrator< StateType >:

Collaboration diagram for diffeq::SRIIntegrator< 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	tableau_type = SRITableau< value_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
	SRIIntegrator (std::shared_ptr< typename base_type::sde_problem_type > problem, std::shared_ptr< typename base_type::wiener_process_type > wiener=nullptr, tableau_type tableau=SRIIntegrator::create_sriw1_tableau())
void	step (state_type &state, time_type dt) override
std::string	name () const override
void	set_tableau (const tableau_type &tableau)
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::SRIIntegrator< StateType >

SRI (Stochastic Runge-Kutta for general Itô SDEs) integrator.

Implements the SRI family of methods for general Itô SDEs: dX = f(t, X) dt + g(t, X) dW

Strong order: 1.5 Weak order: 2.0

Reference: Rößler A., Runge–Kutta Methods for the Strong Approximation of Solutions of Stochastic Differential Equations, SIAM J. Numer. Anal., 48 (3), pp. 922–952. DOI:10.1137/09076636X

Definition at line 44 of file sri.hpp.

Member Typedef Documentation

base_type

template<system_state StateType>

using diffeq::SRIIntegrator< StateType >::base_type = sde::AbstractSDEIntegrator<StateType>

Definition at line 46 of file sri.hpp.

state_type

template<system_state StateType>

using diffeq::SRIIntegrator< StateType >::state_type = typename base_type::state_type

Definition at line 47 of file sri.hpp.

tableau_type

template<system_state StateType>

using diffeq::SRIIntegrator< StateType >::tableau_type = SRITableau<value_type>

Definition at line 50 of file sri.hpp.

time_type

template<system_state StateType>

using diffeq::SRIIntegrator< StateType >::time_type = typename base_type::time_type

Definition at line 48 of file sri.hpp.

value_type

template<system_state StateType>

using diffeq::SRIIntegrator< StateType >::value_type = typename base_type::value_type

Definition at line 49 of file sri.hpp.

Constructor & Destructor Documentation

SRIIntegrator()

template<system_state StateType>

diffeq::SRIIntegrator< StateType >::SRIIntegrator ( std::shared_ptr< typename base_type::sde_problem_type >  problem, std::shared_ptr< typename base_type::wiener_process_type >  wiener = nullptr, tableau_type  tableau = SRIIntegrator< StateType >::create_sriw1_tableau()  )

inlineexplicit

Definition at line 52 of file sri.hpp.

Member Function Documentation

name()

template<system_state StateType>

std::string diffeq::SRIIntegrator< StateType >::name ( ) const

inlineoverridevirtual

Implements diffeq::sde::AbstractSDEIntegrator< StateType >.

Definition at line 206 of file sri.hpp.

set_tableau()

template<system_state StateType>

void diffeq::SRIIntegrator< StateType >::set_tableau ( const tableau_type &  tableau )

inline

Definition at line 210 of file sri.hpp.

step()

template<system_state StateType>

void diffeq::SRIIntegrator< StateType >::step ( state_type &  state, time_type  dt  )

inlineoverridevirtual

Implements diffeq::sde::AbstractSDEIntegrator< StateType >.

Definition at line 58 of file sri.hpp.

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The documentation for this class was generated from the following file:

• include/integrators/sde/sri.hpp