From cd91901e272f69f7051cc4e54fb4df6e0ccf7209 Mon Sep 17 00:00:00 2001 From: Niklas Schnierstein <schni@draco02.mpcdf.mpg.de> Date: Wed, 19 Feb 2020 09:22:55 +0100 Subject: [PATCH] added some logic for convergence of ou process --- cpp/full_code/ornstein_uhlenbeck_process.cpp | 9 ++++++--- 1 file changed, 6 insertions(+), 3 deletions(-) diff --git a/cpp/full_code/ornstein_uhlenbeck_process.cpp b/cpp/full_code/ornstein_uhlenbeck_process.cpp index e02cb771..653c2540 100644 --- a/cpp/full_code/ornstein_uhlenbeck_process.cpp +++ b/cpp/full_code/ornstein_uhlenbeck_process.cpp @@ -188,10 +188,13 @@ void ornstein_uhlenbeck_process<rnumber,be>::initialize_B() template <class rnumber, field_backend be> void ornstein_uhlenbeck_process<rnumber, be>::let_converge(void) { - //add some logic here TODO - for(int i=0; i<1000; i++) + double ou_kmin = sqrt(this->ou_kmin_squ); + double tau = 1.0/this->gamma(ou_kmin); + double dt = tau/1000.; + + for(int i=0; i<2000; i++) { - this->step(2e-3); + this->step(dt); } } -- GitLab