stochastic_process 0.0.1a

data/.gitignore

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+*.gem
+*.rbc
+.bundle
+.config
+.yardoc
+Gemfile.lock
+InstalledFiles
+_yardoc
+coverage
+doc/
+lib/bundler/man
+pkg
+rdoc
+spec/reports
+test/tmp
+test/version_tmp
+tmp
+
+*.sublime-project
+*.sublime-workspace

data/.rspec

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+--color

data/Gemfile

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+source 'https://rubygems.org'
+
+# Specify your gem's dependencies in stochastic_process.gemspec
+gemspec

data/Guardfile

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+# A sample Guardfile
+# More info at https://github.com/guard/guard#readme
+
+guard 'rspec' do
+  watch(%r{^spec/.+_spec\.rb$})
+  watch(%r{^lib/(.+)\.rb$})     { |m| "spec/lib/#{m[1]}_spec.rb" }
+  watch('spec/spec_helper.rb')  { "spec" }
+
+  # Rails example
+  watch(%r{^app/(.+)\.rb$})                           { |m| "spec/#{m[1]}_spec.rb" }
+  watch(%r{^app/(.*)(\.erb|\.haml)$})                 { |m| "spec/#{m[1]}#{m[2]}_spec.rb" }
+  watch(%r{^app/controllers/(.+)_(controller)\.rb$})  { |m| ["spec/routing/#{m[1]}_routing_spec.rb", "spec/#{m[2]}s/#{m[1]}_#{m[2]}_spec.rb", "spec/acceptance/#{m[1]}_spec.rb"] }
+  watch(%r{^spec/support/(.+)\.rb$})                  { "spec" }
+  watch('config/routes.rb')                           { "spec/routing" }
+  watch('app/controllers/application_controller.rb')  { "spec/controllers" }
+
+  # Capybara features specs
+  watch(%r{^app/views/(.+)/.*\.(erb|haml)$})          { |m| "spec/features/#{m[1]}_spec.rb" }
+
+  # Turnip features and steps
+  watch(%r{^spec/acceptance/(.+)\.feature$})
+  watch(%r{^spec/acceptance/steps/(.+)_steps\.rb$})   { |m| Dir[File.join("**/#{m[1]}.feature")][0] || 'spec/acceptance' }
+end
+

data/LICENSE.txt

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+Copyright (c) 2013 Alexander Potrykus
+
+MIT License
+
+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.

data/README.md

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+# StochasticProcess
+
+This gem defines a base class StochasticProcess::Base for the approximation of
+stochastic processes. As an example, the class StochasticProcess:BrownianMotion
+is included that defines a standard Brownian motion process.
+
+Checkout the [sample app](http://stochasticprocess.herokuapp.com/)
+
+## Installation
+*Note that this gem requires at least Ruby 2.0.0* because I decided to try out [keyword arguments](http://dev.af83.com/2013/02/18/ruby-2-0-keyword-arguments.html).
+The linked article describes how to re-write the code to make it work for older Ruby versions.
+
+Add this line to your application's Gemfile:
+
+    gem 'stochastic_process'
+
+And then execute:
+
+    $ bundle
+
+Or install it yourself as:
+
+    $ gem install stochastic_process
+
+## Usage
+
+The base class is `StochasticProcess::Base` which takes as *optional* arguments:
+- `initial_position`: default is 0. This is the point where the stochastic process
+starts
+- `start_time`: default is 0. This is the time at which the stochastic process starts
+- `end_time`: default is 100. This is the time up to which the stochastic process is simulated.
+- `evaluations`: default is 1000. This defines at how many points the stochastic process will be evaluated.
+- `path_increment`: default is 0. This function returns the increment of the path from one time point to the next.
+
+The most important part of the base class is the `path_increment` function. Inherting from `StochasticProcess::Base` one can easily define new stochastic processes by implementing the corresponding `path_increment` function.
+
+So far only Brownian motion is implemented - the following creates a Brownian
+motion and stores the path as pairs of `x` and `y` values in an array
+
+    b = StochasticProcess::BrownianMotion.new(initial_position, start_time, end_time, evaluations)
+    bm_path1 = b.graph # first sample path of Brownian motion
+    bm_path2 = b.graph # second sample path of Brownian motion
+
+Creating a new class is easy once the function that constructs the path
+increments is implemented: simply inherit from `StochasticProcess::Base` and
+pass the new path increment function as the last parameter to the constructor, see `lib/brownian_motion.rb`
+
+
+
+
+
+## Contributing
+
+1. Fork it
+2. Create your feature branch (`git checkout -b my-new-feature`)
+3. Commit your changes (`git commit -am 'Add some feature'`)
+4. Push to the branch (`git push origin my-new-feature`)
+5. Create new Pull Request

data/Rakefile

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+require "bundler/gem_tasks"

data/lib/stochastic_process/base.rb

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+module StochasticProcess
+  class Base
+    DEFAULT_START_TIME = 0.0
+    DEFAULT_END_TIME = 100
+    DEFAULT_EVALUATIONS = 1000
+
+    attr_accessor :evaluations
+
+    def initialize(initial_position: 0.0,
+      start_time: DEFAULT_START_TIME,
+      end_time: DEFAULT_END_TIME,
+      evaluations: DEFAULT_EVALUATIONS,
+      path_increment: method(:default_path_increment))
+      @initial_position = initial_position
+      @start_time = start_time
+      @end_time = end_time
+      @evaluations = evaluations
+      @path_increment = path_increment
+    end
+
+    def default_path_increment
+      return 0
+    end
+
+    def interval_length
+      (@end_time - @start_time).abs.to_f
+    end
+
+    def mesh
+       interval_length / @evaluations
+    end
+
+    def mesh=(m)
+      if m <= 0
+        raise("Only positive numbers allowed!")
+      end
+      @evaluations = interval_length / m.to_f
+    end
+
+    def graph
+      a = []
+      m = mesh()
+      a.push({x: @start_time, y: @initial_position})
+      @evaluations.times do |i| # iterates from 0 to @evaluations - 1
+        a.push({x: @start_time + (i + 1) * m, y: a[i][:y] + @path_increment.call})
+      end
+      return a
+    end
+
+  end
+end

data/lib/stochastic_process/brownian_motion.rb

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+module StochasticProcess
+
+  class BrownianMotion < Base
+
+    def brownian_path_increment
+      return gaussian(0, 0.1)
+    end
+
+    def initialize(initial_position: 0.0,
+      start_time: DEFAULT_START_TIME,
+      end_time: DEFAULT_END_TIME,
+      evaluations: DEFAULT_EVALUATIONS)
+      super(initial_position: initial_position, start_time: start_time,
+        end_time: end_time, evaluations: evaluations,
+        path_increment: method(:brownian_path_increment))
+    end
+
+    private
+
+    def gaussian(mean, stddev)
+      theta = 2 * Math::PI * rand
+      rho = Math.sqrt(-2 * Math.log(1 - rand))
+      scale = stddev * rho
+      x = mean + scale * Math.cos(theta)
+      #y = mean + scale * Math.sin(theta)
+      return x
+    end
+  end
+end

data/lib/stochastic_process/version.rb

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+module StochasticProcess
+  VERSION = "0.0.1a"
+end

data/lib/stochastic_process.rb

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+require "stochastic_process/version"
+require "stochastic_process/base"
+require "stochastic_process/brownian_motion"
+
+module StochasticProcess
+  # Your code goes here...
+
+end

data/spec/base_spec.rb

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+require 'spec_helper'
+
+describe StochasticProcess::Base do
+
+  it 'initalizes successfully' do
+    s = StochasticProcess::Base.new
+    s.should_not be_nil
+  end
+
+  it 'has a default time interval and iteration settings' do
+    StochasticProcess::Base::DEFAULT_START_TIME.should_not be_nil
+    StochasticProcess::Base::DEFAULT_END_TIME.should_not be_nil
+    StochasticProcess::Base::DEFAULT_EVALUATIONS.should_not be_nil
+  end
+
+  it 'sets default path increment to 0' do
+    s = StochasticProcess::Base.new
+    s.default_path_increment.should eq 0
+  end
+
+  it 'should calculate the interval length correctly' do
+    s = StochasticProcess::Base.new(start_time: -10.0, end_time: 10.0,
+      evaluations: 100)
+    s.interval_length.should eq 20.0
+  end
+
+  it 'should calculate a correct mesh given time interval and number of evaluations' do
+    s = StochasticProcess::Base.new(start_time: -10.0, end_time: 10.0,
+      evaluations: 100)
+    s.mesh.should eq 20.0 / 100
+  end
+
+  it 'should not allow a non-positive mesh' do
+    s = StochasticProcess::Base.new
+    expect {s.mesh = -0.1}.to raise_error
+  end
+
+  it 'should calculate the correct number of evaluations if a mesh is specified' do
+    s = StochasticProcess::Base.new(start_time: -10.0, end_time: 10.0,
+      evaluations: 100)
+    s.mesh = 0.1
+    s.evaluations.should eq 200
+  end
+
+  it 'should return a graph with the correct number of elements' do
+    s = StochasticProcess::Base.new(start_time: 0.0, end_time: 10.0,
+      evaluations: 100)
+    s.mesh.should eq 0.1
+    s.graph.count.should eq 101 # including starting point
+  end
+
+  it 'should return a graph with y coordinates constant to zero' do
+    s = StochasticProcess::Base.new(start_time: 0.0, end_time: 10.0,
+      evaluations: 100)
+    yc = s.graph.collect { |p| p[:y]}
+    sumy = yc.inject(0) {|y, res| res + y}
+    sumy.should eq 0
+  end
+
+end

data/spec/brownian_motion_spec.rb

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+require 'spec_helper'
+
+describe StochasticProcess::BrownianMotion do
+
+  it 'defines a function brownian_path_increment that returns a non-constant real number' do
+    s = StochasticProcess::BrownianMotion.new
+    a = s.brownian_path_increment
+    b = s.brownian_path_increment
+    a.should_not eq b
+  end
+
+  it 'should return a graph with y coordinates unequal to zero (almost surely)' do
+    s = StochasticProcess::BrownianMotion.new
+    n = s.graph.count
+    yc = s.graph.collect {|p| p[:y]}
+    yc[rand(n)].should_not eq 0.0
+    yc[rand(n)].should_not eq 0.0
+  end
+
+
+end

data/spec/spec_helper.rb

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+$LOAD_PATH.unshift File.expand_path('../../lib', __FILE__)
+require 'stochastic_process'

data/spec/stochastic_process_spec.rb

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+require 'spec_helper'
+
+describe StochasticProcess do
+  it 'should have a version number' do
+    StochasticProcess::VERSION.should_not be_nil
+  end
+end

data/stochastic_process.gemspec

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+# -*- encoding: utf-8 -*-
+lib = File.expand_path('../lib', __FILE__)
+$LOAD_PATH.unshift(lib) unless $LOAD_PATH.include?(lib)
+require 'stochastic_process/version'
+
+Gem::Specification.new do |gem|
+  gem.name          = "stochastic_process"
+  gem.version       = StochasticProcess::VERSION
+  gem.authors       = ["Alexander Potrykus"]
+  gem.email         = ["apotry@gmail.com"]
+  gem.description   = %q{Ruby library for simulating a variety of stochastic processes}
+  gem.summary       = %q{Ruby library for simulating a variety of stochastic processes}
+  gem.homepage      = ""
+  gem.license       = "MIT"
+
+  gem.files         = `git ls-files`.split($/)
+  gem.executables   = gem.files.grep(%r{^bin/}).map{ |f| File.basename(f) }
+  gem.test_files    = gem.files.grep(%r{^(test|spec|features)/})
+  gem.require_paths = ["lib"]
+
+  gem.add_development_dependency "rake"
+  gem.add_development_dependency "rspec", "~> 2.13.0"
+  gem.add_development_dependency 'rb-inotify', '~> 0.9'
+  gem.add_development_dependency "guard-rspec"
+  #gem.add_dependency "gsl", "~>1.15.3"
+end

metadata

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+--- !ruby/object:Gem::Specification
+name: stochastic_process
+version: !ruby/object:Gem::Version
+  version: 0.0.1a
+  prerelease: 5
+platform: ruby
+authors:
+- Alexander Potrykus
+autorequire: 
+bindir: bin
+cert_chain: []
+date: 2013-04-15 00:00:00.000000000 Z
+dependencies:
+- !ruby/object:Gem::Dependency
+  name: rake
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+- !ruby/object:Gem::Dependency
+  name: rspec
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 2.13.0
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: 2.13.0
+- !ruby/object:Gem::Dependency
+  name: rb-inotify
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.9'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - ~>
+      - !ruby/object:Gem::Version
+        version: '0.9'
+- !ruby/object:Gem::Dependency
+  name: guard-rspec
+  requirement: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+  type: :development
+  prerelease: false
+  version_requirements: !ruby/object:Gem::Requirement
+    none: false
+    requirements:
+    - - '>='
+      - !ruby/object:Gem::Version
+        version: '0'
+description: Ruby library for simulating a variety of stochastic processes
+email:
+- apotry@gmail.com
+executables: []
+extensions: []
+extra_rdoc_files: []
+files:
+- .gitignore
+- .rspec
+- Gemfile
+- Guardfile
+- LICENSE.txt
+- README.md
+- Rakefile
+- lib/stochastic_process.rb
+- lib/stochastic_process/base.rb
+- lib/stochastic_process/brownian_motion.rb
+- lib/stochastic_process/version.rb
+- spec/base_spec.rb
+- spec/brownian_motion_spec.rb
+- spec/spec_helper.rb
+- spec/stochastic_process_spec.rb
+- stochastic_process.gemspec
+homepage: ''
+licenses:
+- MIT
+post_install_message: 
+rdoc_options: []
+require_paths:
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - '>='
+    - !ruby/object:Gem::Version
+      version: '0'
+required_rubygems_version: !ruby/object:Gem::Requirement
+  none: false
+  requirements:
+  - - '>'
+    - !ruby/object:Gem::Version
+      version: 1.3.1
+requirements: []
+rubyforge_project: 
+rubygems_version: 1.8.25
+signing_key: 
+specification_version: 3
+summary: Ruby library for simulating a variety of stochastic processes
+test_files:
+- spec/base_spec.rb
+- spec/brownian_motion_spec.rb
+- spec/spec_helper.rb
+- spec/stochastic_process_spec.rb