src/DiffEq/OrnsteinUhlenbeck/DiagOrnsteinUhlenbeckCoeffPolicy.hpp file

Diagonal Ornstein-Uhlenbeck coefficients policies.


This file defines coefficients policy classes for the diagonal Ornstein-Uhlenbeck SDE, defined in DiffEq/DiagOrnsteinUhlenbeck.h.

General requirements on the diagonal Ornstein-Uhlenbeck SDE coefficients policy classes:

  • Must define a constructor, which is used to initialize the SDE coefficients, sigmasq, theta, and mu. Required signature:

      tk::ctr::ncomp_t ncomp,
      const std::vector< kw::sde_sigmasq::info::expect::type >& sigmasq_,
      const std::vector< kw::sde_theta::info::expect::type >& theta_,
      const std::vector< kw::sde_mu::info::expect::type >& mu_,
      std::vector< kw::sde_sigmasq::info::expect::type >& sigmasq,
      std::vector< kw::sde_theta::info::expect::type >& theta,
      std::vector< kw::sde_mu::info::expect::type >& mu )


    • ncomp denotes the number of scalar components of the system of the diagonal Ornstein-Uhlenbeck SDEs.
    • Constant references to sigmasq_, theta_, and mu_, which denote three vectors of real values used to initialize the parameter vectors of the system of diagonal Ornstein-Uhlenbeck SDEs. The length of the vectors must be equal to the number of components given by ncomp.
    • References to sigmasq, theta, and mu, which denote the parameter vectors to be initialized based on sigmasq_, theta_, and mu_.
  • Must define the static function type(), returning the enum value of the policy option. Example:

    static ctr::CoeffPolicyType type() noexcept {
      return ctr::CoeffPolicyType::CONST_COEFF;

    which returns the enum value of the option from the underlying option class, collecting all possible options for coefficients policies.


namespace walker
Walker declarations and definitions.


class walker::DiagOrnsteinUhlenbeckCoeffConst
Diagonal Ornstein-Uhlenbeck constant coefficients policity: constants in time.