Integrator¶
SDE Integrator.
The SDE integrator stands at the top of the composition hierarchy in PySDE. It is composed of a scheme and a storage object, and drives the SDE integration process. To stick to the overall design goal of simplicity, PySDE only supports integration with constant step size. Due to its modularity, however, adaptive schemes can easily implemented with the lower-level components.
Classes:
| Name | Description |
|---|---|
SDEIntegrator |
Static step size SDE integrator. |
Static step size SDE integrator.
Methods:
| Name | Description |
|---|---|
run |
Run the integration process. |
Initialize with a scheme and a storage object.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
scheme
|
schemes.BaseScheme
|
SDE Integration scheme |
required |
storage
|
storages.BaseStorage
|
Data storage object |
required |
run(initial_state: Real | npt.NDArray[np.floating], initial_time: Real, step_size: Real, num_steps: Annotated[int, Is[lambda x: x > 0]], progress_bar: bool = False) -> storages.BaseStorage
Run the integration process.
Parameters:
| Name | Type | Description | Default |
|---|---|---|---|
initial_state
|
Real | npt.NDArray[np.floating]
|
Initial state of the system, given for all trajectories with shape \(d_X \times N\) |
required |
initial_time
|
Real
|
Initial time \(t_0\) of the stochastic process |
required |
step_size
|
Real
|
Discrete step size \(\Delta t\) |
required |
num_steps
|
int
|
Number of steps to integrate |
required |
progress_bar
|
bool
|
Whether to display a progress bar |
False
|
Returns:
| Type | Description |
|---|---|
storages.BaseStorage
|
storages.BaseStorage: Storage object containing the SDE trajectory data |