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Karhunen-Loeve Expansion
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FILE INFORMATION
Ranked as 37306 on our all-time top downloads list with 830 downloads.
Ranked as 15228 on our top downloads list for the past seven days with 1 downloads.
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karhunenloeveexpansion.zip
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Filename
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karhunenloeveexpansion.zip (Download)
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Title
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Karhunen-Loeve Expansion
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Description
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This program will generate a Karhunen-Loeve Expansion as an approximation to a Wiener Process. The program will ask for the number of Gaussian RV to generate (I suggest the number is small, like 10 or 15) and an ending time (T = 1 is usually standard as beyond this the variance begins to overtake the process theoretically). The program will compute the expansion and plot it along with a linear interpolation of the Gaussian RV input earlier. Great for Numerical SDEs. Enjoy!
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Author
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Jeremy Lane (jerlanesde@gmail.com)
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Category
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TI-83/84 Plus BASIC Math Programs (Misc.)
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File Size
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851 bytes
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File Date and Time
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Sat May 11 02:59:21 2013
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Documentation Included?
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Yes
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