MarkovProcess.hpp File Reference

#include <cmath>
#include <janus/janus.hpp>

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Classes
struct	vulcan::markov::State< Scalar >
	First-order Gauss-Markov process state. More...
struct	vulcan::markov::Coeffs
	Discretized first-order Markov process coefficients. More...

Namespaces
namespace	vulcan
namespace	vulcan::markov

Functions
template<typename Scalar>
State< Scalar >	vulcan::markov::init_state ()
	Initialize state to zero.
template<typename Scalar>
State< Scalar >	vulcan::markov::init_state (const Scalar &initial_value)
	Initialize state to specific value.
Coeffs	vulcan::markov::discretize (double tau, double sigma, double dt)
	Discretize first-order Markov process.
double	vulcan::markov::process_noise_psd (double tau, double sigma)
	Compute continuous-time process noise PSD.
double	vulcan::markov::process_noise_intensity (double tau, double sigma)
	Compute continuous-time process noise intensity.
template<typename Scalar>
Scalar	vulcan::markov::step (State< Scalar > &state, const Coeffs &coeffs, const Scalar &noise_input)
	Step the first-order Markov process.
template<typename Scalar>
Scalar	vulcan::markov::step (State< Scalar > &state, double tau, double sigma, double dt, const Scalar &noise_input)
	Step with inline discretization.
double	vulcan::markov::autocorrelation (double tau, double sigma, double tau_lag)
	Compute autocorrelation at lag τ_lag.
double	vulcan::markov::psd_at_frequency (double tau, double sigma, double f)
	Compute power spectral density at frequency f.