Struct ornstein_uhlenbeck::OrnsteinUhlenbeckProcess

pub struct OrnsteinUhlenbeckProcess<D: Dimension> { /* fields omitted */ }

The Ornstein-Uhlenbeck process for sampling.

Implementations

impl<D: Dimension> OrnsteinUhlenbeckProcess<D>

pub fn new<Sh: ShapeBuilder<Dim = D>>(
    shape: Sh,
    mu: f64,
    theta: f64,
    max_sigma: f64,
    min_sigma: f64,
    decay_period: u64
) -> Self

Creates a new Ornstein-Uhlenbeck process. For the meaning of the parameters and default values look at OrnsteinUhlenbeckProcessBuilder.

use ornstein_uhlenbeck::OrnsteinUhlenbeckProcess;

// Scalar output.
let ou_process_scalar = OrnsteinUhlenbeckProcess::new(1, 0.0, 0.15, 0.3, 0.3, 100_000);

// Vector with dimension 3 as output.
let ou_process_vector = OrnsteinUhlenbeckProcess::new(3, 0.0, 0.15, 0.3, 0.3, 100_000);

// Matrix with shape (2, 2) as output.
let ou_process_matric = OrnsteinUhlenbeckProcess::new((2, 2), 0.0, 0.15, 0.3, 0.3, 100_000);

pub fn reset(&mut self)

Resets the process.

pub fn sample_at(&mut self, step: u64) -> &Array<f64, D>

Returns a sample at time-step without counting up the steps (used for decay).

use ornstein_uhlenbeck::OrnsteinUhlenbeckProcess;

let mut ou_process = OrnsteinUhlenbeckProcess::new(1, 0.0, 0.15, 0.3, 0.3, 100_000);
for step in 0..100 {
    let _sample = ou_process.sample_at(step); // would be equivalent to ou.process.sample();
}

Trait Implementations

impl<D: Clone + Dimension> Clone for OrnsteinUhlenbeckProcess<D>

fn clone(&self) -> OrnsteinUhlenbeckProcess<D>

Returns a copy of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl<D: Debug + Dimension> Debug for OrnsteinUhlenbeckProcess<D>

fn fmt(&self, f: &mut Formatter) -> Result

Formats the value using the given formatter.