103 lines
3.4 KiB
C++
103 lines
3.4 KiB
C++
/* @file ExpProcess.hpp */
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#pragma once
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//#include "time/Time.hpp"
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#include "StochasticProcess.hpp"
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#include <memory>
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#include <cmath>
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namespace xo {
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namespace process {
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// a stochastic process
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//
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// S(t)
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// P(t) = m.e
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//
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// where
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// - m is a constant scale factor
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// - S(t) is some already-defined-and-represented process
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//
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// In particular, if S(t) is brownian motion,
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// then P(t) is log-normal
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//
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class ExpProcess : public StochasticProcess<double> {
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public:
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using TaggedRcptr = reflect::TaggedRcptr;
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public:
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static rp<ExpProcess> make(double scale,
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ref::brw<StochasticProcess<double>> exp_proc) {
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return new ExpProcess(scale, exp_proc);
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} /*make*/
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/* reflect ExpProcess object representation */
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static void reflect_self();
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ref::brw<StochasticProcess<double>> exponent_process() const { return exponent_process_.borrow(); }
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// ----- inherited from StochasticProcess<...> -----
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virtual ~ExpProcess() = default;
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virtual utc_nanos t0() const override { return this->exponent_process_->t0(); }
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virtual double t0_value() const override {
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return this->scale_ * ::exp(this->exponent_process_->t0_value());
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}
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/* note: lo is a sample from the exponentiated process;
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* must take log to get sample from the exponent process
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*/
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virtual value_type exterior_sample(utc_nanos t,
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event_type const & lo) override;
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/* note: lo, hi are samples from the exponentiated process;
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* must take logs to get samples from the exponent process
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*/
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virtual value_type interior_sample(utc_nanos t,
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event_type const & lo,
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event_type const & hi) override {
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double m
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= this->scale_;
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double e
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= (this->exponent_process_->interior_sample
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(t,
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event_type(lo.first, ::log(lo.second)),
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event_type(hi.first, ::log(hi.second))));
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return m * ::exp(e);
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} /*interior_sample*/
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virtual std::string display_string() const override {
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// return tostr("<ExpProcess ", exponent_process_->display_string(), ">");
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return "<ExpProcess>";
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} /*display_string*/
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// ----- Inherited from SelfTagging -----
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virtual TaggedRcptr self_tp() override;
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private:
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ExpProcess(double scale, ref::brw<StochasticProcess> exp_proc)
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: scale_(scale),
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exponent_process_{exp_proc.get()} {
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ExpProcess::reflect_self();
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}
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private:
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/* modeling
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* P(t) = m.exp(E(t))
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* where:
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* - m is .scale
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* - E(t) is .exponent_process
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*/
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double scale_ = 1.0;
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/* exponentiate this process */
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rp<StochasticProcess<double>> exponent_process_;
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}; /*ExpProcess*/
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} /*namespace process*/
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} /*namespace xo*/
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/* end ExpProcess.hpp */
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