public StochasticManifoldPoint(IManifoldPoint expectation, OSymmetricMatrix covariance)
{
ArgAssert.Equal(expectation.Dimension, "expectation.Dimension", covariance.Dimension, "covariance.Dimension");
_expectation = expectation;
_covariance = covariance;
}
public StochasticVector(OVector expectation, OSymmetricMatrix covariance)
{
ArgAssert.Equal(expectation.Dimension, "expectation.Dimension", covariance.Dimension, "covariance.Dimension");
_expectation = expectation;
_covariance = covariance;
}
public AffineStochasticTransformation(OMatrix matrix, OVector freeTerm, OSymmetricMatrix covariance)
{
_domain = new AffineSpace(matrix.ColumnCount);
_codomain = new AffineSpace(matrix.RowCount);
_matrix = matrix;
_freeTerm = freeTerm;
_covariance = covariance;
}
public OrnsteinUhlenbeckProcess(OSymmetricMatrix diffusionMatrix, double relaxationTime, OVector?attractorPoint = null)
{
_diffusionMatrix = diffusionMatrix;
RelaxationTime = relaxationTime;
if (attractorPoint != null)
{
AttractorPoint = attractorPoint.Value;
}
else
{
AttractorPoint = Vector.Zero(diffusionMatrix.Dimension);
}
_stateSpace = new AffineSpace(diffusionMatrix.Dimension);
}
public WienerProcess(OSymmetricMatrix diffusionMatrix, OVector?driftVelocity = null)
{
_stateSpace = new AffineSpace(diffusionMatrix.Dimension);
_diffusionMatrix = diffusionMatrix;
if (driftVelocity == null)
{
_driftVelocity = Vector.Zero(diffusionMatrix.Dimension);
}
else
{
ArgAssert.Equal(driftVelocity.Value.Dimension, "driftVelocity.Value.Dimension", diffusionMatrix.Dimension, "diffusionMatrix.Dimension");
_driftVelocity = driftVelocity.Value;
}
}
public static OrnsteinUhlenbeckProcess GivenByCovariance(OSymmetricMatrix covariance, double relaxationTime, OVector?attractorPoint = null)
{
var diffusionMatrix = (2 / relaxationTime) * covariance;
return(new OrnsteinUhlenbeckProcess(diffusionMatrix, relaxationTime, attractorPoint));
}