#markov
##Usage
- Clone this library into your project
git clone https://github.com/NathanEpstein/markov.git
- Make markov.o and libmarkov.a by calling
makeon this library's Makefile (assuming you aren't using a package manager which does this for you).
cd markov && make
- Include the appropriate header in your project file
#include "../markov/markov.h"
int main(){
// your code here...
}- Compile with
g++ myFile.cpp -L ../markov -l markov
##Examples
####Poisson Process
#include "../markov/markov.h"
int main(){
//SIMULATE A POISSON PROCESS
double lambda = 6.2;
double T = 10;
std::vector<double> P = poissP(lambda,T) ;
return 0;
}#include "../markov/markov.h"
int main(){
//SIMULATE BROWNIAN MOTION
double mu = 0.8;
double sigma = 0.2;
double T = 10;
int steps = 100;
std::vector<double> brown = brownian(mu,sigma,T,steps);
return 0;
}#include "../markov/markov.h"
int main(){
//SIMULATE GEOMETRIC BROWNIAN MOTION
double S0 = 5;
double mu = 0.8;
double sigma = 0.2;
double T = 10;
int steps = 100;
std::vector<double> geo = geoBrownian(S0,mu,sigma,T,steps);
return 0;
}#include "../markov/markov.h"
int main(){
//SIMULATE DISCRETE TIME MARKOV CHAIN
std::vector< std::vector<double> > matrix(3,std::vector<double> (3)); //initializes a 3x3 matrix with zeros
//set transition matrix
matrix[0][1] = 1;
matrix[1][2] = 1;
matrix[2][0] = 1;
int steps = 10;
int start = 0;
double T = 8.5;
//simulate discrete time Markov Chain
std::vector<int> discreteMC = DTMC(matrix,steps,start);
return 0;
}#include "../markov/markov.h"
int main(){
//SIMULATE CONTINUOUS TIME MARKOV CHAIN
std::vector< std::vector<double> > matrix(3,std::vector<double> (3)); //initializes a 3x3 matrix with zeros
//set transition matrix
matrix[0][1] = 1;
matrix[1][2] = 1;
matrix[2][0] = 1;
int start = 0;
double T = 8.5;
//simulate continuous time Markov Chain
CTMC continuousMC(matrix);
continuousMC.simulate(T,start);
std::vector<double> times = continuousMC.transTimes();
std::vector<int> states = continuousMC.getStates();
return 0;
}This library initially implemented CTMC as a function which returned a matrix instead of a class. To access the original (deprecated) version use git clone -b v1 https://github.com/NathanEpstein/markov.git
The MIT License (MIT)
Copyright (c) 2014 Nathan Epstein
Permission is hereby granted, free of charge, to any person obtaining a copy of this software and associated documentation files (the "Software"), to deal in the Software without restriction, including without limitation the rights to use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies of the Software, and to permit persons to whom the Software is furnished to do so, subject to the following conditions:
The above copyright notice and this permission notice shall be included in all copies or substantial portions of the Software.
THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY, FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE SOFTWARE.
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