Package ECctmc. May 1, 2018
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1 Type Package Package ECctmc May 1, 2018 Title Simulation from Endpoint-Conditioned Continuous Time Markov Chains Version Date URL BugReports Draw sample paths for endpointconditioned continuous time Markov chains via modified rejection sampling or uniformization. License GPL-3 LazyData TRUE Imports Rcpp (>= ) LinkingTo Rcpp, RcppArmadillo RoxygenNote Suggests knitr, rmarkdown, testthat VignetteBuilder knitr NeedsCompilation yes Author Jon Fintzi [aut, cre] Maintainer Jon Fintzi Repository CRAN Date/Publication :41:03 UTC R topics documented: comp_expmat sample_path sample_path_mr sample_path_unif sample_path_unif sample_path_unif
2 2 sample_path Index 6 comp_expmat Compute the matrix exponential. Compute the matrix exponential. comp_expmat() matrix Matrix exponential of sample_path Sample path from the distribution of an endpoint-conditioned CTMC. Sample path from the distribution of an endpoint-conditioned CTMC. sample_path(a, b, t0, t1,, method = "mr", npaths = 1, eigen_vals = NULL, eigen_vecs = NULL, inverse_vecs = NULL, P = NULL) a, b States at the left and right endpoints of the interval, given as row numbers of the t0, t1 Times for the left and right endpoints of the interval. method npaths eigen_vals. Either "mr" corresponding to modified rejection sampling, or "unif" for uniformization. optional argument for the number of sample paths to simulate. optional vector of eigen values of (assumes all eigen values are real). eigen_vecs optional matrix of eigen vectors of. inverse_vecs P optional inverse of the eigen vector matrix. optional transition probability matrix over the interval
3 sample_path_mr 3 sample_path returns either a matrix with a sample path or a list of matrices of sample paths. Examples sample_path(1, 2, 0, 5, matrix(c(-0.49, 0.49, 0.51, -0.51), nrow = 2, byrow = TRUE)) sample_path_mr Simulate a sample path from an endpoint conditioned CTMC by modified rejection sampling. Simulate a sample path from an endpoint conditioned CTMC by modified rejection sampling. sample_path_mr(a, b, t0, t1, ) the. sample_path_unif Simulate a sample path from an endpoint conditioned CTMC by uniformization. Simulate a sample path from an endpoint conditioned CTMC by uniformization. sample_path_unif(a, b, t0, t1, )
4 4 sample_path_unif2 the. sample_path_unif2 Simulate a sample path from an endpoint conditioned CTMC by uniformization using pre-computed eigen-values (assumes that all eigenvalues are real). Simulate a sample path from an endpoint conditioned CTMC by uniformization using pre-computed eigen-values (assumes that all eigenvalues are real). sample_path_unif2(a, b, t0, t1,, eigen_vals, eigen_vecs, inverse_vecs) the. eigen_vals vector of eigen values of. eigen_vecs matrix of eigen vectors of. inverse_vecs inverse of the eigen vector matrix.
5 sample_path_unif3 5 sample_path_unif3 Simulate a sample path from an endpoint conditioned CTMC by uniformization using a pre-computed transition probability matrix. Simulate a sample path from an endpoint conditioned CTMC by uniformization using a pre-computed transition probability matrix. sample_path_unif3(a, b, t0, t1,, P) the. P CTMC transition probability matrix over the interval.
6 Index comp_expmat, 2 sample_path, 2 sample_path_mr, 3 sample_path_unif, 3 sample_path_unif2, 4 sample_path_unif3, 5 6
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