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Generate stochastic processes using Python. Unfortunately not maintained any longer =(

License: Other

Python 100.00%

pyprocess's Introduction

PyProcess 0.2

PyProcess is a Python class library used to exactly simulate stochastic processes, and their properties.

Using this library, you can simulate the following random processes:

Continuous Diffusions

Brownian Motion
Geometric Brownian Motion
CEV
CIR
Square Bessel Process
Ornstein Uhlenbeck process
Time-integrated Ornstein Uhlenbeck process
Levy Processes
Bessel Process (coming soon)
Fractional Brownian Motion (coming soon)

Jump Diffusions

Gamma process
Variance-gamma process
Geometric Gamma process
Inverse Gaussian process NEW
Normal Inverse Gaussian process NEW

Step Processes

Renewal process
Poisson process
Compound poisson process
marked-poisson process
Fractional poisson process (coming soon)

See fun examples of the processes you can simulate [here] (http://pyprocess.70percentfatfree.com)

Simulation Algorithms + PyProcess 0.2

See the report for PyProcess 0.2's background.

Lastly

Visit me at camdp.com or at @cmrn_dp

pyprocess's People

Contributors

Stargazers

Watchers

Forkers

mpelko gustavdelius r0k3 perigee hal2001 euchanmi ronojoy imclab mgymrek ssbk1234 choffstein lepy smillington phaustin code2glory sandy4321 seckcoder zergylord colinsongf felix11h tbs1980 pangyanbo zhangleihan ianmadlenya sheqi h-samee freephys cocconat afcarl sathishbn angelo086 arita37 rkhelifi algoskynet niedachu danielaristidou revivalfx sagdiev saklimm s0ap absolutprogrammer stanelake guillermo-navas-palencia

pyprocess's Issues

Bug in Wiener_process sample_path when conditional

First, great library!

Second, I think there is a bug when the Wiener_process is conditional (e.g. has a startPosition and an endPosition). When _sample_path is called, the startPosition is ultimately ignored in the conditional branch of the code. I believe that branch of the code should read:

else:
        """
        Alternatively, this can be accomplished by sampling directly from a multivariate normal given a linear
        projection. Ie

        N | N dot 1 = endPosition ~ Nor( 0, Sigma ), where Sigma is a diagonal matrix with elements proportional to
        the delta. This only problem with this is Sigma is too large for very large len(times).

        """
        T = self.endTime - self.startTime
        x = self.startTime

        for i, delta in enumerate( deltas ):
            x = x*(1-delta/T) + (self.endPosition - self.startPosition)*delta/T + self.sigma*np.sqrt(delta/T*(T-delta))*self.Nor.rvs(N)
            T = T - delta
            path[:,i] = x

        if abs(T -0)<1e-10:
            path[:,-1] = (self.endPosition - self.startPosition)

        path = path + self.startPosition

Package is not installed on Wondows !!

I used the command "pip install pyprocess" to installing pyprocess package but it was not installed and I got error (end of this issue). I use windows 7, MinGW, python 2.7.7 and anaconda distribution.

last part of error:

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\240' in pro
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c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\17' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\350' in pro
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c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\350' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\350' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\372' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\372' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\270' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\304' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\210' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\23' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\364' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\320' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\7' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\36' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\24' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\3' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\310' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\311' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\1' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\5' in progr
am

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\367' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\26' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\227' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\205' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\27' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\312' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\226' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\352' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\20' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\207' in pro
gram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\22' in prog
ram

c:\mingw\lib\gcc\mingw32\4.8.1\include\stddef.h:1:29: error: stray '\352' in pro
gram



cc1.exe: out of memory allocating 838860800 bytes

error: command 'C:\\MINGW\\BIN\\gcc.exe' failed with exit status 1

----------------------------------------
Cleaning up...
Command D:\Anaconda\python.exe -c "import setuptools, tokenize;__file__='c:\\use
rs\\mkhm\\appdata\\local\\temp\\pip_build_MKHM\\setproctitle\\setup.py';exec(com
pile(getattr(tokenize, 'open', open)(__file__).read().replace('\r\n', '\n'), __f
ile__, 'exec'))" install --record c:\users\mkhm\appdata\local\temp\pip-rxwb7f-re
cord\install-record.txt --single-version-externally-managed --compile failed wit
h error code 1 in c:\users\mkhm\appdata\local\temp\pip_build_MKHM\setproctitle
Traceback (most recent call last):
  File "D:\Anaconda\Scripts\pip-script.py", line 5, in <module>
    sys.exit(main())
  File "D:\Anaconda\lib\site-packages\pip\__init__.py", line 198, in main
    return command.main(cmd_args)
  File "D:\Anaconda\lib\site-packages\pip\basecommand.py", line 161, in main
    text = '\n'.join(complete_log)
UnicodeDecodeError: 'ascii' codec can't decode byte 0xe9 in position 5: ordinal
not in range(128)

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