Template Class AbstractSDEIntegrator

Defined in File sde_base.hpp

Inheritance Relationships

Derived Types

public diffeq::EulerMaruyamaIntegrator< StateType > (Template Class EulerMaruyamaIntegrator)
public diffeq::ImplicitEulerMaruyamaIntegrator< StateType > (Template Class ImplicitEulerMaruyamaIntegrator)
public diffeq::MilsteinIntegrator< StateType > (Template Class MilsteinIntegrator)
public diffeq::SOSRAIntegrator< StateType > (Template Class SOSRAIntegrator)
public diffeq::SRAIntegrator< StateType > (Template Class SRAIntegrator)
public diffeq::SRI1Integrator< StateType > (Template Class SRI1Integrator)
public diffeq::SRIIntegrator< StateType > (Template Class SRIIntegrator)
public diffeq::SRIW1Integrator< StateType > (Template Class SRIW1Integrator)

Class Documentation

template<system_state StateType> class AbstractSDEIntegrator

Abstract base class for SDE integrators.

Subclassed by diffeq::EulerMaruyamaIntegrator< StateType >, diffeq::ImplicitEulerMaruyamaIntegrator< StateType >, diffeq::MilsteinIntegrator< StateType >, diffeq::SOSRAIntegrator< StateType >, diffeq::SRAIntegrator< StateType >, diffeq::SRI1Integrator< StateType >, diffeq::SRIIntegrator< StateType >, diffeq::SRIW1Integrator< StateType >

Public Types

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 Functions

inline explicit AbstractSDEIntegrator(std::shared_ptr<sde_problem_type> problem, std::shared_ptr<wiener_process_type> wiener = nullptr)

virtual ~AbstractSDEIntegrator() = default

virtual void step(state_type &state, time_type dt) = 0

virtual std::string name() const = 0

inline void integrate(state_type &state, time_type dt, time_type end_time)

inline time_type current_time() const

inline void set_time(time_type t)

inline std::shared_ptr<sde_problem_type> get_problem() const

inline std::shared_ptr<wiener_process_type> get_wiener_process() const

inline void set_wiener_process(std::shared_ptr<wiener_process_type> wiener)

Protected Functions

inline void advance_time(time_type dt)

inline virtual size_t get_default_dimension()

Protected Attributes

std::shared_ptr<sde_problem_type> problem_

std::shared_ptr<wiener_process_type> wiener_

time_type current_time_