This package is SDE_Importance_Sampling. This code accompanies the paper "Symmetrized importance samplers for stochastic differential equations" by Andrew Leach, Kevin K Lin, and Matthias Morzfeld. A preprint version of the paper can be found at http://arxiv.org/abs/1707.02695 .
Copyright (C) 2017 by Andrew Leach imaleach@gmail.com.
This program is free software; you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation; either version 2 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more details.
You should have received a copy of the GNU General Public License along with this program; if not, write to the Free Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA.
Test_Samplers will run and save a batch (of the chaotic pole reversal ex.) as a .mat file
batch number (unique identifier for naming, not the number of batches, takes a string)
sampler ('NONE','LM','SLM','DLM','SDLM')
solver (use 'RK4')
eps (the epsilons to test, ex., 10.^(-7:-3) )
batch size (number of samples, ex., 30 or 120 )
T ( units of time, use 10 )
dt ( size of time step, use 1/10)
Q (relative variance for each epsilon)
X (samples drawn)
logW (log weights)
logO (log observations)
Test_Samplers('1','LM','RK4',10.^(-7:-2),30,10,1/10)