OUGenerator.cpp

Go to the documentation of this file.

#include "OUGenerator.h"

ThreadSpecificRandomDistribution< NormalDistribution > OUGenerator::white_noise;

OUGenerator::OUGenerator(double g0, double sig, double tau, double dt)
    :g0(g0), sig(sig), tau(tau), dt(dt)         
{
                
}


OUGenerator::~OUGenerator()
{
}


int OUGenerator::adjust(double dt)
{   
    dt=dt;
    white_noise.set( NormalDistribution( 0.0, 1.0 ) );    
        D = pow(sig,2)*2/tau;
    A = sqrt(D*tau/2 * (1-exp(-2*dt/tau)));
    C = exp(-dt/tau);    
    return 0;
}


int OUGenerator::reset(double dt)
{
        adjust(dt);
    value = g0;
    return 0;
}


void OUGenerator::advance()
{
    value = fabs(g0 + (value-g0)*C + A*white_noise());
}

---