https://github.com/NathanEpstein/markov

A compact C++ library for easily simulating common Markov processes.
https://github.com/NathanEpstein/markov

Last synced: 18 days ago
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A compact C++ library for easily simulating common Markov processes.

• Host: GitHub
• URL: https://github.com/NathanEpstein/markov
• Owner: NathanEpstein
• Created: 2015-01-20T15:57:40.000Z (almost 10 years ago)
• Default Branch: master
• Last Pushed: 2016-11-08T00:58:03.000Z (about 8 years ago)
• Last Synced: 2024-07-31T22:53:54.150Z (3 months ago)
• Language: C++
• Homepage:
• Size: 26.4 KB
• Stars: 90
• Watchers: 7
• Forks: 10
• Open Issues: 0
• Metadata Files:
  • Readme: README.md

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README

        
#markov

##Usage

1) Clone this library into your project

`git clone https://github.com/NathanEpstein/markov.git`

2) Make markov.o and libmarkov.a by calling `make` on this library's Makefile (assuming you aren't using a package manager which does this for you).

`cd markov && make`

3) Include the appropriate header in your project file

```c++

#include "../markov/markov.h"

int main(){

  // your code here...

}

```

4) Compile with `g++ myFile.cpp -L ../markov -l markov`

##Examples

####Poisson Process

```c++

#include "../markov/markov.h"

int main(){

  //SIMULATE A POISSON PROCESS

  double lambda = 6.2;

  double T = 10;

  std::vector P = poissP(lambda,T) ;

  return 0;

}

```

#### Brownian Motion

```c++

#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 brown = brownian(mu,sigma,T,steps);

  return 0;

}

```

#### Geometric Brownian Motion

```c++

#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 geo = geoBrownian(S0,mu,sigma,T,steps);

  return 0;

}

```

#### Discrete Time Markov Chains

```c++

#include "../markov/markov.h"

int main(){

  //SIMULATE DISCRETE TIME MARKOV CHAIN

  std::vector< std::vector > matrix(3,std::vector (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 discreteMC = DTMC(matrix,steps,start);

  return 0;

}

```

#### Continuous Time Markov Chains

```c++

#include "../markov/markov.h"

int main(){

  //SIMULATE CONTINUOUS TIME MARKOV CHAIN

  std::vector< std::vector > matrix(3,std::vector (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 times = continuousMC.transTimes();

  std::vector states = continuousMC.getStates();

  return 0;

}

```

### Previous Version

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`

## License

**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.