Stochastic System Definition
Numerical Bifurcation Analysis Toolbox in Matlab
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Has anyone used Matcont to analyse stochastic differential equations?
I'd like to create a system with a stochastic process defined as a vector, so that the integrator can optimize the time step and use an interpolated version of the stochastic process. I did this with an Ornstein-Uhlenbeck process (a vector of white noise convoluted with a low-pass filter) and ode45 in Matlab, but in Matcont it seems that I can't use vectors in the system definition. Is there a way around this?
The only way seems to be to define the differential equation of an Ornstein-Uhlenbeck process explicitly (X'=-X+randn) but that makes the simulation too heavy, because it uses a very small time step.
A simple system with a stochastic process vector is shown below, with the error I get when I click "OK". Any help would be much appreciated! Thanks in advance!
Dear Maria,
MatCont is intended for deterministic systems only. A good bifurcation theory for SDEs, and the numerical treatment, is not in the scope of this project.
Best, Hil
From: "Maria Inês Cravo" mariaines@users.sourceforge.net
Sent: Monday, May 18, 2020 5:13 PM
To: [matcont:discussion]
Subject: [matcont:discussion] Stochastic System Definition
Has anyone used Matcont to analyse stochastic differential equations?
I'd like to create a system with a stochastic process defined as a vector, so that the integrator can optimize the time step and use an interpolated version of the stochastic process. I did this with an Ornstein-Uhlenbeck process (a vector of white noise convoluted with a low-pass filter) and ode45 in Matlab, but in Matcont it seems that I can't use vectors in the system definition. Is there a way around this?
The only way seems to be to define the differential equation of an Ornstein-Uhlenbeck process explicitly (X'=-X+randn) but that makes the simulation too heavy, because it uses a very small time step.
A simple system with a stochastic process vector is shown below, with the error I get when I click "OK". Any help would be much appreciated! Thanks in advance!
Stochastic System Definition
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Thank you so much for your quick answer! Is there any other bifurcation analysis software that supports SDEs? Maybe AUTO?
xppaut has an option to simulate stochastic ODEs, but I am not aware it supports bifurcation analysis for SDEs.
From: "Maria Inês Cravo" mariaines@users.sourceforge.net
Sent: Monday, May 18, 2020 9:10 PM
To: [matcont:discussion]
Subject: [matcont:discussion] Stochastic System Definition
Thank you so much for your quick answer! Is there any other bifurcation analysis software that supports SDEs? Maybe AUTO?
Stochastic System Definition
Sent from sourceforge.net because you indicated interest in https://sourceforge.net/p/matcont/discussion/762214/
To unsubscribe from further messages, please visit https://sourceforge.net/auth/subscriptions/