C# (CSharp) Epicycle.Math.Probability OrnsteinUhlenbeckProcess.Apply Beispiele

Beispiel #1

        public void Apply_Covariance_matches_EquilibriumCovariance_for_large_times()
        {
            var tolerance = 1e-7;
            var time      = 1e50;

            var process = new OrnsteinUhlenbeckProcess(_diffusionMatrix, _relaxationTime, _attractorPoint);

            Expect((process.Apply(_point, time).Covariance - process.EquilibriumCovariance).FrobeniusNorm(), Is.LessThan(tolerance));
        }

Beispiel #2

        public void Apply_Expectation_matches_AttractorPoint_for_large_times()
        {
            var tolerance = 1e-7;
            var time      = 1e50;

            var process = new OrnsteinUhlenbeckProcess(_diffusionMatrix, _relaxationTime, _attractorPoint);

            Expect(((OVector)process.Apply(_point, time).Expectation - _attractorPoint).Norm(), Is.LessThan(tolerance));
        }